/raid1/www/Hosts/bankrupt/TCR_Public/170813.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, August 13, 2017, Vol. 21, No. 224
Headlines
BANC OF AMERICA 2008-1: S&P Rates Class A-J Notes 'CCC-(sf)'
BARINGS CLO 2017-I: Moody's Assigns B3(sf) Rating to Cl. F Notes
BEAR STEARNS 2003-TOP10: Fitch Affirms CCsf Rating on Cl. M Notes
BEAR STEARNS 2006-PWR12: Moody's Affirms C Rating on Class E Certs
BLUEMOUNTAIN CLO 2013-3: S&P Affirms B(sf) Rating on Class F Notes
BNPP IP CLO 2014-II: S&P Affirms BB(sf) Rating on Class E Notes
CD 2006-CD3: S&P Lowers Rating on 2 Tranches to 'D(sf)'
CD MORTGAGE 2016-CD1: Fitch Affirms 'B-sf' Rating on Cl. F Certs
CGDBB COMMERCIAL 2017-BIOC: S&P Gives Prelim BB- Rating on E Certs
CIFC FUNDING 2013-I: S&P Assigns BB-(sf) Rating on Class D-R Notes
CITIGROUP COMMERCIAL 2007-C6: S&P Cuts Class B Certs Rating to CCC-
CITIGROUP COMMERCIAL 2017-B1: Fitch to Rate Class F Certs 'B-sf'
CMLS ISSUER 2014-1: Fitch Affirms 'Bsf' Rating on Class G Certs
COMM 2013-CCRE11: Fitch Affirms Bsf Rating on Class F Certs
COMM 2014-FL5: S&P Affirms B(sf) Rating on 2 Tranches
CPS AUTO 2015-A: Moody's Affirms B2(sf) Rating on Class E Notes
CREDIT SUISSE 2004-C3: Fitch Affirms 'Csf' Rating on Cl. E Certs
CSFB 2006-TFL2: S&P Lowers Class K Certs Rating to 'D(sf)'
CSFB MORTGAGE 2003-C4: Moody's Affirms B3 Rating on Class L Certs
DBJPM MORTGAGE 2016-C3: Fitch Affirms 'BBsf' Rating on Cl. E Certs
DIAMOND BRITE: Racer Wash Buying San Antonio Property for $3.1M
DRIVE AUTO 2017-2: S&P Assigns BB(sf) Rating on Class E Notes
DRYDEN XXVIII: S&P Gives Prelim B-(sf) Rating on Class B-3R Notes
DT AUTO 2017-3: S&P Gives Prelim. BB Rating on Class E Notes
ERNEST VICKNAIR: Selling Coin Collection & MidSouth Bancorp Stock
FLAGSTAR MORTGAGE 2017-1: Fitch Assigns B Rating to Cl. B-5 Certs.
GS MORTGAGE 2017-GS7: Fitch to Rate Class H-RR Certs 'B-sf'
JP MORGAN 2003-CIBC6: Moody's Hikes Rating on Class K Certs to Ba3
JP MORGAN 2004-LN2: S&P Cuts Class B Certs Rating to CCC-(sf)
JP MORGAN 2017-3: Fitch to Rates Class B-5 Certificates 'Bsf'
JP MORGAN 2017-3: Moody's Assigns (P)B2 Rating to Class B-5 Certs
JP MORGAN 2017-MAUI: S&P Rates Class HRR Certificates B-(sf)
JPMCC COMMERCIAL 2017-JP7: Fitch Assigns Bsf Rating to G-RR Certs
KKR CLO 10: S&P Assigns Prelim BB(sf) Rating on Class E-R Notes
MARATHON CLO X: S&P Gives Prelim. BB- Rating to Class D Notes
MCF CLO VII: S&P Gives Prelim BB- (sf) Rating on Class E Notes
MERRILL LYNCH 2007-CANADA21: Moody's Hikes Cl. K Certs Rating to B3
MILOS CLO: Moody's Assigns (P)Ba3 Rating to Class E Notes
ML-CFC COMMERCIAL 2006-3: Moody's Hikes Class C Debt Rating to B3
MORGAN STANLEY 2005-IQ10: Moody's Affirms C Rating on Class F Certs
MORGAN STANLEY 2012-C4: Moody's Affirms B1 Rating on Cl. X-B Certs
MSBAM 2014-C18: Fitch Affirms 'Bsf' Rating on Class 300-E Certs
MSSG TRUST 2017-237P: S&P Gives Prelim BB- Rating to Class E Certs
OZLM XVII: Moody's Assigns Ba3(sf) Rating to Class D Notes
PREFERRED TERM XI: Moody's Hikes Rating on 3 Tranches to Ba3
PREFERRED TERM XXV: Moody's Hikes Rating on 2 Tranches to Ba1
RR 1 LTD: S&P Assigns BB-(sf) Rating on Class D-R Notes
S-JETS 2017-1: S&P Assigns Prelim BB(sf) Rating on Class C Notes
SHACKLETON CLO 2017-XI: Moody's Assigns B2 Rating on Cl. F Notes
SLM PRIVATE 2003-A: Fitch Lowers Rating on Class C Notes to 'CCsf'
SORIN REAL III: Moody's Affirms C(sf) Ratings on 5 Tranches
SORIN REAL IV: Moody's Affirms C(sf) Ratings on 4 Tranches
TCI-SYMPHONY CLO 2017-1: Moody's Assigns Ba3 Rating to Cl. E Notes
TCW CLO 2017-1: S&P Rates $18MM Class E Notes 'BB-(sf)'
TOWD POINT 2017-4: Fitch to Rate Class B2 Notes 'Bsf'
TRALEE CLO II: S&P Assigns B-(sf) Rating on Class F-R Notes
UBS-BARCLAYS 2012-C2: Moody's Affirms B1 Rating on Cl. X-B Certs
UBS-CITIGROUP 2011-C1: Moody's Cuts Rating on Class F Certs to B1
WACHOVIA BANK 2004-C15: Moody's Hikes Class F Certs Rating to B1
WELLS FARGO 2017-C39: Fitch to Rate Class G-RR Certs 'B-sf'
[*] Fitch Lowers 146 Wells Fargo Trustee US RMBS Classes to 'Dsf'
[*] Moody's Takes Action on $534MM Subprime RMBS Issued 2002-2007
[*] Moody's Takes Action on $764MM of RMBS Issued in 2015
[*] S&P Lowers Ratings on 87 Classes From 60 US RMB Deals to D(sf)
[*] S&P Lowers Ratings on Seven Classes From Five U.S. CMBS Deals
[*] S&P Takes Various Actions on 39 Classes From 34 US RMBS Deals
[*] S&P Takes Various Actions on 64 Classes From 11 US RMBS Deals
*********
BANC OF AMERICA 2008-1: S&P Rates Class A-J Notes 'CCC-(sf)'
------------------------------------------------------------
S&P Global Ratings lowered its ratings on five classes of
commercial mortgage pass-through certificates from Banc of America
Commercial Mortgage Trust 2008-1, a U.S. commercial mortgage-backed
securities (CMBS) transaction. In addition, S&P affirmed its
ratings on four other classes from the same transaction.
S&P said, "Our rating actions on the principal- and interest-paying
certificates follow our analysis of the transaction, primarily
using our criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining assets in the pool, the transaction's
structure, and the liquidity available to the trust, as well as
using our structured finance temporary interest shortfalls
methodology.
"We lowered our ratings on classes A-J, B, C, D, and E due to
credit support erosion that we anticipate will occur upon the
eventual resolution of the six (reflecting the A/B notes as one
loan) assets ($150.6 million, 25.6%) with the special servicer,
(discussed below), as well as a susceptibility to liquidity
interruption due to ongoing and expected interest shortfalls from
the specially serviced assets. Specifically, we lowered our ratings
on classes B, C, D, and E to 'D (sf)' because we expect the
accumulated interest shortfalls to remain outstanding for the
foreseeable future."
According to the July 10, 2017, trustee remittance report, the
current monthly interest shortfalls totaled $1.2 million and
resulted primarily from:
-- A one-time workout fee of $1.0 million;
-- A top advance interest of $89,059;
-- Special servicing fees totaling $31,387; and
-- A modification shortfall totaling $24,878.
S&P said, "The affirmations on classes A-4, A-1A, and A-M reflect
our expectation that the available credit enhancement for these
classes will be within our estimate of the necessary credit
enhancement required for the current ratings and our views
regarding the collateral's current and future performance .
"While available credit enhancement levels suggest positive rating
movement on class A-M, our analysis also considered the
susceptibility to reduced liquidity support from the six specially
serviced assets. In particular, we noted that the updated March
2017 appraisal value for the 550 West Jackson specially serviced
loan ($97.5 million, 16.5%) was well-below the $98.0 million total
reported exposure. Our analysis considered the potential increase
in interest shortfalls if an appraisal reduction amount (ARA) was
implemented on this loan.
"We affirmed our 'AAA (sf)' rating on the class XW interest-only
(IO) certificates based on our criteria for rating IO securities."
TRANSACTION SUMMARY
As of the July 10, 2017, trustee remittance report, the collateral
pool balance was $588.9 million, which is 46.4% of the pool balance
at issuance. The pool currently includes 56 loans and two real
estate-owned (REO) assets (reflecting A/B notes as one loan), down
from 108 loans at issuance. Six of these assets are with the
special servicer, five ($48.0 million, 8.1%) are defeased, and 29
($138.1 million, 23.4%) are on the master servicer's watchlist. The
master servicer, KeyBank Real Estate Capital, reported financial
information for 96.8% of the nondefeased loans in the pool, of
which 8.0% was year-end 2015 data, 90.7% was year-end 2016 data,
and the remainder was partial-year 2017 data.
S&P said, "We calculated a 1.45x S&P Global Ratings weighted
average debt service coverage (DSC) and 72.8% S&P Global Ratings
weighted average loan-to-value (LTV) ratio using a 7.62% S&P Global
Ratings weighted average capitalization rate. The DSC, LTV ratio,
and capitalization rate calculations exclude the six specially
serviced assets and five defeased loans. The top 10 nondefeased
assets have an aggregate outstanding pool trust balance of $329.1
million (55.9%). Using adjusted servicer-reported numbers, we
calculated an S&P Global Ratings weighted average DSC and LTV ratio
of 1.48x and 74.6%, respectively, for seven of the top 10
nondefeased assets. The remaining three assets are specially
serviced and discussed below.
"To date, the transaction has experienced $92.8 million in
principal losses, or 7.3% of the original pool trust balance. We
expect losses to reach approximately 13.3% of the original pool
trust balance in the near term based on losses incurred to date and
additional losses we expect upon the eventual resolution of the six
specially serviced assets."
CREDIT CONSIDERATIONS
As of the July 10, 2017, trustee remittance report, six assets in
the pool were with the special servicer, CWCapital Asset Management
LLC. Details of the three largest specially serviced assets, all of
which are top 10 non-defeased assets, are as follows:
The 550 West Jackson loan ($97.5 million, 16.5%) is the largest
non-defeased loan in the pool and has a total reported exposure of
$98.0 million. The loan is secured by a 401,651-sq.-ft. office
property in Chicago. The loan has a late but less-than-one-month
delinquent payment status and was transferred to the special
servicer on March 6, 2017, due to imminent monetary default. The
special servicer stated that a pre-negotiation agreement has been
executed and it is evaluating the borrower proposals and dual
tracking those discussions, with alternative remedies being
prepared. The reported year-end 2016 DSC and occupancy were 1.20x
and 88.5%, respectively. According to the special servicer, the
occupancy has declined to 53.0% as of July 2017. S&P expects a
moderate loss upon this loan's eventual resolution.
The Commonwealth Storage Facility loan, the fifth-largest
non-defeased asset in the pool, has a $22.0 million total reported
exposure and is secured by a 692,190-sq.-ft. industrial warehouse
property in Suffolk, Va. The loan, which has a 90-plus-days
delinquent payment status, is $21.3 million (3.6%) and consists of
a $16.8 million A note and a $4.5 million subordinate B hope note.
It was transferred to the special servicer on March 7, 2017, due to
imminent monetary default. CWCapital stated that it is exploring
various liquidation strategies. CWCapital indicated that the
occupancy was 38.0% as of June 2017. An ARA of $4.2 million is in
effect against this loan. S&P expects a moderate loss upon its
eventual resolution.
The 357 South Gulph and 444 Oxford Valley REO asset ($17.1 million,
2.9%) is the eighth-largest non-defeased asset in the pool and has
a total reported exposure of $21.4 million. The asset is a
48,100-sq.-ft. suburban office property in King of Prussia, Pa. The
loan was transferred to the special servicer on June 6, 2012,
because of imminent monetary default, and the asset became REO Jan.
29, 2014. The special servicer indicated that the property will be
marketed for sale in August 2017 and a disposition is anticipated
by the fourth-quarter of 2017. The reported occupancy was 58.0% as
of May 2017. S&P expects a significant loss upon this asset's
eventual resolution.
Each of the three remaining assets with the special servicer have
individual balances that represent less than 1.0% of the total pool
trust balance. S&P estimated losses for the six specially serviced
assets, arriving at a weighted
average loss severity of 50.3%.
For the specially serviced assets noted above, a minimal loss is
less than 25%, a moderate loss is 26%-59%, and a significant loss
is 60% or greater.
RATINGS LIST
Banc of America Commercial Mortgage Trust 2008-1
Commercial mortgage pass-through certificates series 2008-1
Rating Rating
Class Identifier To From
A-4 05952AAE4 AAA (sf) AAA (sf)
A-1A 05952AAF1 AAA (sf) AAA (sf)
A-M 05952AAG9 A+ (sf) A+ (sf)
A-J 05952AAH7 CCC- (sf) BB (sf)
XW 05952AAJ3 AAA (sf) AAA (sf)
B 05952AAL8 D (sf) B (sf)
C 05952AAN4 D (sf) B- (sf)
D 05952AAQ7 D (sf) CCC (sf)
E 05952AAS3 D (sf) CCC- (sf)
BARINGS CLO 2017-I: Moody's Assigns B3(sf) Rating to Cl. F Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by Barings CLO Ltd. 2017-I.
Moody's rating action is as follows:
US$300,000,000 Class A-1 Senior Secured Floating Rate Notes due
2029 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf)
US$30,000,000 Class A-2 Senior Secured Floating Rate Notes due 2029
(the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf)
US$32,500,000 Class B-1 Senior Secured Floating Rate Notes due 2029
(the "Class B-1 Notes"), Definitive Rating Assigned Aa1 (sf)
US$5,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2029
(the "Class B-2 Notes"), Definitive Rating Assigned Aa1 (sf)
US$37,500,000 Class C Secured Deferrable Mezzanine Floating Rate
Notes due 2029 (the "Class C Notes"), Definitive Rating Assigned A2
(sf)
US$28,250,000 Class D Secured Deferrable Mezzanine Floating Rate
Notes due 2029 (the "Class D Notes"), Definitive Rating Assigned
Baa3 (sf)
US$26,750,000 Class E Secured Deferrable Mezzanine Floating Rate
Notes due 2029 (the "Class E Notes"), Definitive Rating Assigned
Ba3 (sf)
US$10,000,000 Class F Secured Deferrable Mezzanine Floating Rate
Notes due 2029 (the "Class F Notes"), Definitive Rating Assigned B3
(sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B-1 Notes, the
Class B-2 Notes, the Class C Notes, the Class D Notes, the Class E
Notes, and the Class F Notes are referred to herein as the "Rated
Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Barings CLO 2017-I is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 96% of the portfolio must
consist of senior secured loans and eligible investments
representing principal proceeds, and up to 4% of the portfolio may
consist of second lien loans and senior unsecured loans. The
portfolio is approximately 70% ramped as of the closing date.
Barings LLC (the "Manager") will direct the selection, acquisition
and disposition of the assets on behalf of the Issuer and may
engage in trading activity, including discretionary trading, during
the transaction's five year reinvestment period. Thereafter, the
Manager may reinvest unscheduled principal payments and proceeds
from sales of credit risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue one class of
subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2820
Weighted Average Spread (WAS): 3.35%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9.0 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2820 to 3243)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -1
Class B-1 Notes: -2
Class B-2 Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: -1
Class F Notes: -1
Percentage Change in WARF -- increase of 30% (from 2820 to 3666)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -2
Class B-1 Notes: -4
Class B-2 Notes: -4
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
Class F Notes: -4
BEAR STEARNS 2003-TOP10: Fitch Affirms CCsf Rating on Cl. M Notes
-----------------------------------------------------------------
Fitch Ratings affirms four classes of Bear Stearns Commercial
Mortgage Securities Trust (BSCMS), series 2003-TOP10 commercial
mortgage pass-through certificates.
KEY RATING DRIVERS
The affirmations reflect the concentrated nature of the pool and
the stable performance of the remaining loans. This pool has 12
assets remaining, two of which have been defeased (5.3% of the
remaining pool balance). As of the July 2017 remittance report, the
pool has been reduced by 98.4% to $19.3 million from $1.2 billion
at issuance. The pool has realized $8.5 million in losses,
accounting for 0.7% of the original pool balance. Interest
shortfalls are currently affecting class O.
Pool Concentration/Adverse Selection: The pool is highly
concentrated with only 12 of the original 171 loans remaining. Of
the remaining 12 assets, eight assets are fully amortizing (48.2%),
one is with the special servicer (45.3%), and two are defeased
(5.3%). The pool consists mostly of retail (82%) in secondary and
tertiary locations.
Due to the pool's concentrated nature, a sensitivity analysis was
performed which grouped and ranked the remaining loans by their
structural features, performance, estimated likelihood of
repayment, and estimated loss on the specially serviced asset.
REO Asset: The largest remaining asset is a 112,000 square foot
neighborhood retail center in Vacaville, CA (45.3% remaining
balance). The real estate owned (REO) asset was transferred to the
special servicer in August 2014 for imminent monetary default due
to low occupancy resulting in reduced net operating income (NOI)
and reduced debt service coverage ratio (DSCR). The special
servicer has been leasing up the vacant space, replacing the dark
Sports Authority space with a Restoration Hardware, but occupancy
is still below 75%.
Longer Term Loans: The remaining performing loans have maturity
dates as follows: 2017 (6.9% of pool balance), 2018 (7.7%), 2022
(10.5%), 2023 (29.6%).
RATING SENSITIVITIES
The Rating Outlooks on classes K and L remain Stable due to
increasing credit enhancement, defeasance, continued amortization
and relatively stable performance of the transaction. Future
upgrades are likely to be limited due to the portfolio's
concentration and adverse selection. Downgrades could occur if
losses from the REO asset are greater than expected, pool
performance deteriorates, or loans default at maturity. The
distressed classes, M and N, are subject to further downgrades as
losses are realized.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $5,073,224 class K notes at 'Asf'; outlook Stable;
-- S4,545,000 class L notes at 'Bsf'; outlook Stable;
-- $3,030,000 class M notes at 'CCsf'; RE 70%;
-- $3,030,000 class N notes at 'Csf'; RE 0%.
Fitch does not rate the $3.6 million class O. Classes A-1, A-2, B,
C, D, E, F, G, H, and J have been paid in full. Fitch previously
withdrew the ratings on interest-only classes X-1 and X-2.
BEAR STEARNS 2006-PWR12: Moody's Affirms C Rating on Class E Certs
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12,
Commercial Pass-Through Certificates, Series 2006-PWR12 as follows
as follows:
Cl. D, Affirmed Caa3 (sf); previously on Sep 9, 2016 Affirmed Caa3
(sf)
Cl. E, Affirmed C (sf); previously on Sep 9, 2016 Affirmed C (sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
Moody's rating action reflects a base expected loss of 49.7% of the
current pooled balance, compared to 32.2% at Moody's last review.
Moody's base expected loss plus realized losses is now 8.0% of the
original pooled balance, compared to 7.8% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 100% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced loans to the most junior class and the
recovery as a pay down of principal to the most senior class.
DEAL PERFORMANCE
As of the July 11, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $29 million
from $2.08 billion at securitization. The certificates are
collateralized by six mortgage loans ranging in size from 9% to 23%
of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of five, compared to six at Moody's last review.
Thirty loans have been liquidated from the pool, resulting in an
aggregate realized loss of $151 million (for an average loss
severity of 52%). All six remaining loans, constituting 100% of the
pool, are currently in special servicing. The largest specially
serviced loan is the Micron Building Loan ($6.8 million -- 23 % of
the pool), which is secured by a single story 70,000 square foot
(SF) office building located in Sacramento, California. The loan
transferred to special servicing in April 2016 for maturity
default. As of December 2016, the property was 73% leased. The
largest tenant, County of Sacramento, recently renewed its lease;
however, it downsized and now comprises 73% of the net rentable
area (NRA). The special servicer is currently working with the
borrower on a loan modification.
The second largest specially serviced loan is the Tappahannock
Towne Center Loan ($6.5 million -- 22% of the pool), which is
secured by a 114,0000 SF retail center located in Tappahannock,
Virginia. The loan transferred to special servicing in 2012 due to
imminent payment default. The borrower was unable to refinance the
loan at maturity after a short-sale fell through. The property was
82% leased as of December 2016 and the special servicer is pursuing
foreclosure.
The third largest specially serviced loan is the Holiday Inn
Express -- Chesapeake, VA Loan ($6.2 million -- 21% of the pool),
which is secured by a 90 unit Holiday Inn Express in Chesapeake
Virginia. The loan transferred to special servicing in November
2014 due to payment default. Moody's anticipates a significant loss
on this loan.
The remaining three specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $14.5 million
loss for the specially serviced loans (50% expected loss on
average).
As of the July 11, 2017 remittance statement cumulative interest
shortfalls were $3.7 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
BLUEMOUNTAIN CLO 2013-3: S&P Affirms B(sf) Rating on Class F Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-1-R,
B-2-R, C-R, and D-R replacement notes from BlueMountain CLO 2013-3
Ltd., a collateralized loan obligation (CLO) originally issued in
2013 that is managed by BlueMountain Capital Management LLC. S&P
said, "We withdrew our ratings on the original class A, B-1, B-2,
C, and D notes following payment in full on the July 31, 2017,
refinancing date. At the same time, we affirmed our ratings on the
original class E and F notes, which were not part of this
refinancing."
S&P related, "On the July 31, 2017, refinancing date, the proceeds
from the A-R, B-1-R, B-2-R, C-R, and D-R replacement note issuances
were used to redeem the original class A, B-1, B-2, C, and D notes
as outlined in the transaction document provisions. Therefore, we
withdrew our ratings on the original notes in line with their full
redemption, and we assigned ratings to the replacement notes. The
replacement notes were issued via a supplemental indenture, which
included no other substantial changes to the transaction.
"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the trustee
report, to estimate future performance. In line with our criteria,
our cash flow scenarios applied forward-looking assumptions on the
expected timing and pattern of defaults, and recoveries upon
default, under various interest rate and macroeconomic scenarios.
In addition, our analysis considered the transaction's ability to
pay timely interest or ultimate principal, or both, to each of the
rated tranches.
"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary."
RATINGS ASSIGNED
BlueMountain CLO 2013-3 Ltd.
Replacement class Rating Amount (mil. $)
A-R AAA (sf) 255.25
B-1-R AA+ (sf) 23.25
B-2-R AA+ (sf) 15.00
C-R A (sf) 37.25
D-R BBB (sf) 20.25
RATINGS AFFIRMED
BlueMountain CLO 2013-3 Ltd.
Original class Rating
E BB (sf)
F B (sf)
RATINGS WITHDRAWN
BlueMountain CLO 2013-3 Ltd.
Rating
Original class To From
A NR AAA (sf)
B-1 NR AA+ (sf)
B-2 NR AA+ (sf)
C NR A (sf)
D NR BBB (sf)
BNPP IP CLO 2014-II: S&P Affirms BB(sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class B-R, C-R, and
D-R replacement notes from BNPP IP CLO 2014-II Ltd., a U.S.
collateralized loan obligation (CLO) originally issued in 2014 that
is managed by BNP Paribas Asset Management Inc. S&P said, "We
withdrew our ratings on the original class B, C, and D notes
following payment in full on the July 31, 2017, refinancing date.
At the same time, we affirmed our ratings on the formerly
refinanced class A-R and original class E notes, which were not a
part of this refinancing."
S&P related, "On the July 31, 2017, refinancing date, the proceeds
from the class B-R, C-R, and D-R notes were used to redeem the
original class B, C, and D notes as outlined in the transaction
document provisions. Therefore, we withdrew the ratings on the
transaction's original notes in line with their full redemption,
and we assigned ratings to the transaction's replacement notes.
"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the trustee
report, to estimate future performance. In line with our criteria,
our cash flow scenarios applied forward-looking assumptions on the
expected timing and pattern of defaults, and recoveries upon
default, under various interest rate and macroeconomic scenarios.
In addition, our analysis considered the transaction's ability to
pay timely interest or ultimate principal, or both, to each of the
rated tranches.
"The ratings reflect our opinion that the credit support available
is commensurate with the associated rating levels.
"We will continue to review whether, in our view, the ratings
assigned to the transaction remain consistent with the credit
enhancement available to support them, and we will take rating
actions as we deem necessary."
RATINGS ASSIGNED
BNPP IP CLO 2014-II Ltd.
Replacement class Rating Amount (mil. $)
B-R AA (sf) 40.75
C-R A (sf) 25.00
D-R BBB (sf) 18.25
RATINGS WITHDRAWN
BNPP IP CLO 2014-II Ltd.
Rating
Original class To From
B NR AA (sf)
C NR A (sf)
D NR BBB (sf)
RATINGS AFFIRMED
BNPP IP CLO 2014-II Ltd.
Class Rating
A-R AAA (sf)
E BB (sf)
OUTSTANDING CLASS
BNPP IP CLO 2014-II Ltd.
Class Rating
Subordinated notes NR
NR--Not rated.
CD 2006-CD3: S&P Lowers Rating on 2 Tranches to 'D(sf)'
-------------------------------------------------------
S&P Global Ratings lowered its ratings on three classes of
commercial mortgage pass-through certificates from CD 2006-CD3
Mortgage Trust, a U.S. commercial mortgage-backed securities (CMBS)
transaction. In addition, S&P withdrew its rating on the class X-S
certificates from the same transaction.
S&P said, "Our rating actions on the principal- and interest-paying
certificates follow our analysis of the transaction, primarily
using our criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining assets in the pool, the transaction's
structure, and the liquidity available to the trust.
"We lowered our ratings on classes A-M, A-J, and A-1A to reflect
credit support erosion that we anticipate will occur upon the
eventual resolution of the 13 assets ($281.1 million, 48.5%) with
the special servicer (discussed below), as well as a reduction in
the liquidity support available to these classes due to ongoing
interest shortfalls. In addition, we lowered our ratings on classes
A-J and A-1A to 'D (sf)' because we expect the accumulated interest
shortfalls to remain outstanding for the foreseeable future."
According to the July 17, 2017, trustee remittance report, the
current monthly interest shortfalls totaled $147,836 and resulted
primarily from:
-- Appraisal subordinate entitlement reduction amounts totaling
$434,812;
-- Interest not advanced totaling $135,955;
-- Special servicing fees totaling $58,589; and
-- Shortfalls due to interest rate modifications totaling
$12,516.
The interest shortfalls were partially offset by $495,118 of
principal proceeds. The current interest shortfalls affected all
classes outstanding except for class A-M.
S&P said, "We withdrew our rating on class X-S certificates based
on our criteria for rating IO securities. We withdrew the rating
because all principal- and interest-paying classes are no longer
rated 'AA- (sf)' or higher."
TRANSACTION SUMMARY
As of the July 17, 2017, trustee remittance report, the collateral
pool balance was $579.3 million, which is 16.2% of the pool balance
at issuance. The pool currently includes 14 loans and five
(adjusted for the Galley Row A-note and B-note as one asset) real
estate owned (REO) assets, down from 192 loans at issuance.
Thirteen of these assets are with the special servicer and two
loans ($31.7 million, 5.5%) are on the master servicers' combined
watchlist. No loans are defeased. The master servicers, Wells Fargo
Bank N.A. and Berkadia Commercial Mortgage LLC, reported financial
information for 65.0% of the nondefeased loans in the pool, of
which 64.8% was partial year 2017 data, 17.5% was partial year or
year-end 2016 data, and remaining was partial year or year-end 2015
data.
S&P said, "We calculated S&P Global Ratings weighted average debt
service coverage (DSC) of 1.30x and loan-to-value (LTV) ratio of
93.3% using a S&P Global Ratings weighted average capitalization
rate of 8.77%. The DSC, LTV and capitalization rate calculations
exclude the specially serviced assets. The top 10 assets have an
aggregate outstanding pool trust balance of $543.8 million,
(93.9%). Using servicer-reported numbers, we calculated an S&P
Global Ratings weighted average DSC and LTV of 1.29x and 94.1%,
respectively, for five of the top 10 assets. The remaining five
assets are specially serviced and discussed below.
"To date, the transaction has experienced $402.2 million in
principal losses, or 11.3% of the original pool trust balance. We
expect losses to reach approximately 16.2% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses we expect upon the eventual resolution of the
specially serviced assets."
CREDIT CONSIDERATIONS
As of the July 17, 2017, trustee remittance report, 13 assets in
the pool were with the special servicer, C-III Asset Management LLC
(C-III). Details of the two largest specially serviced assets, both
of which are part of the top 10 assets, are as follows:
The Fair Lakes Office Portfolio REO asset ($142.5 million, 24.6%)
is the second-largest asset in the trust and has a total reported
exposure of $153.1 million. The asset consists of nine office
properties totaling 1,250,842 sq. ft. located in Fairfax, Va. The
loan was transferred to the special servicer on June 12, 2015, for
imminent default and became REO on Sept. 6, 2016. Two of the nine
properties, Fair Lakes Court North and Fair Lakes Court South,
totaling about 270,000 sq. ft., are being marketed for sale. An
appraisal reduction amount (ARA) of $18.5 million is in effect
against the asset. S&P expects a moderate loss upon its eventual
resolution.
The Greendale Mall REO asset ($45.0 million, 7.8%) is the
fourth-largest asset in the trust and has a total reported exposure
of $49.7 million. The asset is a retail property totaling 309,103
sq. ft. located in Worcester, Mass. The loan was transferred to the
special servicer on Sept. 11, 2015, due to imminent default and
became REO on June 24, 2016. An ARA of $45.5 million is in effect
against the loan. S&P expects a significant loss upon the asset's
eventual resolution.
The 11 remaining assets with the special servicer each have
individual balances that represent less than 4.7% of the total pool
trust balance. S&P estimated losses for the specially serviced
assets, arriving at a weighted average loss severity of 63.2%.
For the specially serviced assets noted above, a minimal loss is
less than 25%, a moderate loss is 26%-59%, and a significant loss
is 60% or greater.
RATINGS LIST
CD 2006-CD3 Mortgage Trust
Commercial mortgage pass-through certificates series 2006-CD3
Rating
Class Identifier To From
A-M 14986DAH3 A (sf) AA (sf)
A-J 14986DAJ9 D (sf) B- (sf)
A-1A 14986DAK6 D (sf) B- (sf)
XS 14986DAS9 NR AA- (sf)
NR--Not rated.
CD MORTGAGE 2016-CD1: Fitch Affirms 'B-sf' Rating on Cl. F Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of German American Capital
Corp.'s CD Mortgage Securities Trust 2016-CD1 commercial mortgage
pass-through certificates.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral.
Stable Performance: The overall pool performance remains stable
from issuance. There are no delinquent or specially serviced loans.
As of the July 2017 distribution date, the pool's aggregate balance
has been reduced by 0.5% to $699.6 million from $703.2 million at
issuance. One loan (1.6%) is on the servicer's watch list, and none
are considered Fitch Loans of Concern.
Property Type Concentration: Loans backed by office properties
represent 41.5% of the pool, including six (38.2%) in the top 15.
The office concentration in the pool increases to 50.7% when two
mixed-use properties that are predominantly office are included.
The next largest concentration is retail, which accounts for 19.3%
of the pool. Notably, only one of the retail loans is backed by a
regional mall, and does not reflect exposure to JC Penney, Sears or
Macy's.
Low Issuance Leverage: The transaction has significantly lower
leverage than the average for Fitch-rated transactions in 2016. The
pool's weighted average (WA) Fitch DSCR of 1.25x is better than
both the 2016 average of 1.16x and the 2015 average of 1.18x. The
pool's WA Fitch LTV of 95.5% is better than both the 2016 average
of 105.2% and the 2015 average of 109.3%. Excluding the credit
opinion loans (27.7% of the pool), the Fitch DSCR and LTV are 1.17x
and 108.9%, respectively.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
Fitch has affirmed the following ratings:
-- $27,194,115 class A-1 at 'AAAsf'; Outlook Stable;
-- $40,000,000 class A-2 at 'AAAsf'; Outlook Stable;
-- $46,236,000 class A-SB at 'AAAsf'; Outlook Stable;
-- $168,000,000 class A-3 at 'AAAsf'; Outlook Stable;
-- $207,191,000 class A-4 at 'AAAsf'; Outlook Stable;
-- $562,460,115b class X-A at 'AAAsf'; Outlook Stable;
-- $73,839,000 class A-M at 'AAAsf'; Outlook Stable;
-- $31,644,000 class B at 'AA-sf'; Outlook Stable;
-- $28,129,000 class C at 'A-sf'; Outlook Stable;
-- $59,773,000ab class X-B at 'A-sf'; Outlook Stable;
-- $31,645,000ab class X-C at 'BBB-sf'; Outlook Stable;
-- $15,823,000ab class X-D at ' BB-sf'; Outlook Stable;
-- $6,153,000ab class X-E at ' B-sf'; Outlook Stable;
-- $31,645,000a class D at 'BBB-sf'; Outlook Stable;
-- $15,823,000a class E at 'BB-sf'; Outlook Stable;
-- $6,153,000a class F at 'B-sf'; Outlook Stable.
The following classes were not rated:
-- $23,733,985ab class X-F;
-- $23,733,985a class G.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
CGDBB COMMERCIAL 2017-BIOC: S&P Gives Prelim BB- Rating on E Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CGDBB
Commercial Mortgage Trust 2017-BIOC's $825.0 million commercial
mortgage pass-through certificates series 2017-BIOC.
The note issuance is a commercial mortgage-backed securities
transaction backed by a two-year, floating-rate commercial mortgage
loan totaling $825 million, with three one-year extension options,
secured by a first lien on the borrowers' fee interests in a
portfolio of 15 office and laboratory properties totaling 2.2
million sq. ft. The properties are located in California and
Massachusetts.
The preliminary ratings are based on information as of July 31,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsor's and managers'
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
CGDBB Commercial Mortgage Trust 2017-BIOC
Class Rating(i) Amount ($)
A AAA (sf) 415,467,000
X-CP BBB- (sf) 221,858,500(ii)
X-NCP BBB- (sf) 261,010,000(ii)
B AA- (sf) 97,757,000
C A- (sf) 73,317,000
D BBB- (sf) 89,936,000
E BB- (sf) 107,273,000
Class VRR(iii) NR 41,250,000
(i) The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
(ii) Notional balance. The notional amount of the class X-CP
certificates will be equal to the aggregate of the portion balances
of the class B portion 2, class C portion 2, and class D portion 2.
The notional amount of the class X-NCP certificates will be equal
to the aggregate of the certificate balances of the class B, C, and
D certificates.
(iii) Non-offered vertical interest certificate.
NR--Not rated.
CIFC FUNDING 2013-I: S&P Assigns BB-(sf) Rating on Class D-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X, A-1-R,
A-2-R, B-R, C-R, and D-R replacement notes from CIFC Funding 2013-I
Ltd., a collateralized loan obligation (CLO) originally issued in
March 2013. Following the refinancing date, CIFC Funding 2013-I
Ltd. will be managed by CIFC VS Management LLC, a wholly owned
subsidiary of CIFC Asset Management LLC. S&P said, "We withdrew our
ratings on the original class A-1, A-2, B, C, D, and E notes
following payment in full on the Aug. 9, 2017, refinancing date."
On the Aug. 9, 2017, refinancing date, the proceeds from the class
X, A-1-R, A-2-R, B-R, C-R, and D-R replacement note issuances, as
well as the proceeds from the issuance of additional subordinated
notes, were used to redeem the original class A-1, A-2, B, C, D,
and E notes as outlined in the transaction document provisions. S&P
said, "Therefore, we withdrew our ratings on the original notes in
line with their full redemption, and we assigned ratings to the
replacement notes."
The replacement notes were issued via two supplemental indentures,
which, in addition to outlining the terms of the replacement notes,
also:
-- Issued $6.70 million in additional subordinated notes;
-- Extended the non-call period to July 2019 from April 2015;
-- Extended the reinvestment period to July 2022 from April 2017;
-- Extended the notes' legal final maturity date to July 2030 from
April 2025;
-- Extended the weighted average life test to nine years
(calculated from the refinancing date, August 2017) from eight
years (calculated from the original closing date, March 2013); and
-- Incorporated the recovery rate methodology and updated industry
classifications outlined in our August 2016 CLO criteria update
(see "Global Methodologies And Assumptions For Corporate Cash Flow
And Synthetic CDOs," published Aug. 8, 2016).
REPLACEMENT AND ORIGINAL NOTE ISSUANCES
Replacement Notes
Class Amount Interest
(mil. $) rate (%)
X 7.50 Three-month LIBOR + 0.85
A-1-R 313.70 Three-month LIBOR + 1.25
A-2-R 58.20 Three-month LIBOR + 1.75
B-R 39.40 Three-month LIBOR + 2.40
C-R 24.80 Three-month LIBOR + 3.55
D-R 23.40 Three-month LIBOR + 6.65
2017 sub notes 6.70
Original Notes
Class Amount Interest
(mil. $) rate (%)
A-1 310.60 Three-month LIBOR + 1.15
A-2 50.50 Three-month LIBOR + 1.90
B 47.60 Three-month LIBOR + 2.81
C 28.20 Three-month LIBOR + 3.60
D 22.80 Three-month LIBOR + 5.24
E 10.30 Three-month LIBOR + 6.125
Sub notes 46.60
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary."
RATINGS ASSIGNED
CIFC Funding 2013-I Ltd.
Replacement class Rating Amount (mil $)
X AAA (sf) 7.50
A-1-R AAA (sf) 313.70
A-2-R AA (sf) 58.20
B-R A (sf) 39.40
C-R BBB- (sf) 24.80
D-R BB- (sf) 23.40
RATINGS WITHDRAWN
CIFC Funding 2013-I Ltd.
Rating
Original class To From
A-1 NR AAA (sf)
A-2 NR AA+ (sf)
B NR A (sf)
C NR BBB (sf)
D NR BB (sf)
E NR B (sf)
NR--Not rated.
CITIGROUP COMMERCIAL 2007-C6: S&P Cuts Class B Certs Rating to CCC-
-------------------------------------------------------------------
S&P Global Ratings lowered its ratings on three classes of
commercial mortgage pass-through certificates from Citigroup
Commercial Mortgage Trust 2007-C6, a U.S. commercial
mortgage-backed securities (CMBS) transaction. At the same time, we
discontinued our ratings on three other classes from the same
transaction.
S&P said, "The downgrades follow our analysis of the transaction,
primarily using our criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and performance of the remaining assets in the pool, the
transaction's structure, and the liquidity available to the trust.
The downgrades on classes A-J, A-JFX, and B also reflect credit
support erosion that we anticipate will occur upon the eventual
resolution of the 37 assets ($592.4 million, 89.8%) with the
special servicer, as well as reduction in liquidity support
available to these classes due to interest shortfalls from the
specially serviced assets.
"We discontinued our ratings on classes A-1A, A-M, and A-MFX
following their full repayment as noted in the July 12, 2017,
trustee remittance report."
TRANSACTION SUMMARY
As of the July 12, 2017, trustee remittance report, the collateral
pool balance was $659.9 million, which is 13.9% of the pool balance
at issuance. The pool currently includes 23 loans (reflecting A/B
notes as a single loan) and 20 real estate owned (REO) assets, down
from 319 loans at issuance. 37 of these assets are with the special
servicer and three loans ($52.5 million, 8.0%) are on the master
servicers' combined watchlist. The master servicers, Wells Fargo
Bank N.A., Berkadia Commercial Mortgage LLC, and Midland Loan
Services reported financial information for 87.3% of the assets in
the pool, of which 74.3% was partial-year or year-end 2016 data,
and the remainder was partial-year or year-end 2015 data.
S&P said, "We calculated a 1.18x S&P Global Ratings' weighted
average debt service coverage (DSC) and 99.8% S&P Global Ratings'
weighted average loan-to-value (LTV) ratio using a 7.57% S&P Global
Ratings' weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the specially serviced
assets and the Herndon Square Office Park subordinate B hope notes
($10.0 million, 1.5%). The top 10 assets have an aggregate
outstanding pool trust balance of $393.3 million (59.6%). Using
adjusted servicer-reported numbers, we calculated an S&P Global
Ratings' DSC and LTV of 1.08x and 118.8%, respectively, for the
Herndon Square Office Park A notes. The remaining assets are
specially serviced and discussed below.
"To date, the transaction has experienced $267.7 million in
principal losses, or 5.6% of the original pool trust balance. We
expect losses to reach approximately 12.8% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses we expect upon the eventual resolution of the
specially serviced assets."
CREDIT CONSIDERATIONS
As of the July 12, 2017, trustee remittance report, 37 assets in
the pool were with the special servicer, CWCapital Asset Management
LLC (CWCapital). Details of the three largest specially serviced
assets, all of which are among the top 10 assets, are as follows:
The Moreno Valley Mall REO asset ($76.5 million, 11.6%), the
largest asset in the pool, has a total reported exposure of $103.3
million. The asset is a 472,844 sq. ft. regional mall in Moreno
Valley, Calif. The loan was transferred to the special servicer on
Aug. 16, 2010, due to imminent default and the property became REO
on Feb. 1, 2011. CWCapital indicated that it is continuing with
leasing efforts on the property and expects a disposition in the
fourth quarter of 2017. The reported DSC and occupancy as of
year-end 2016 were 0.55x and 83.3%, respectively. According to
CWCapital, the in-line mall occupancy was approximately 95.0%
(75.0% excluding temporary tenants) as of June 2017. An appraisal
reduction amount (ARA) of $43.0 million is in effect against the
asset. S&P expects a moderate loss upon this asset's eventual
resolution.
The Crossroads Marketplace loan ($62.0 million, 9.4%), the
second-largest asset in the pool, has a total reported exposure of
$62.7 million. The loan is secured by a 263,757-sq.-ft. retail
property in Chino Hills, Calif. The loan, which has a reported
foreclosure in process payment status, was transferred to the
special servicer on Nov. 22, 2016, due to imminent default.
CWCapital stated that the foreclosure is in process and expects it
to close by August 2017. The reported DSC for the six months ended
June 30, 2016, was 0.97x. CWCapital indicated that overall
occupancy for the collateral property was approximately 55.0% as of
June 2017 because three anchor tenant spaces totaling 104,000 sq.
ft. are vacant at the property. An ARA of $10.7 million is in
effect against this loan. S&P expects a minimal loss upon this
loan's eventual resolution.
The Miracle Mile SC loan ($59.6 million, 9.0%), the third-largest
asset in the pool, has a total reported exposure of $59.9 million.
The loan is secured by a 294,418-sq.-ft. retail property in
Monroeville, Pa. The loan was transferred to the special servicer
on June 1, 2017, due to imminent maturity default. The loan matured
on June 11, 2017. CWCapital stated that the borrower indicated that
it will pay off the loan by September 2017, but has not provided
any evidence of its ability to do so and, as such, is also
exploring other liqudation strategies. The reported DSC and
occupancy for the three months ended March 31, 2017, were 1.27x and
97.7%, respectively. S&P expects a moderate loss upon this loan's
eventual resolution if the borrower does not pay off the loan by
September 2017.
The 34 remaining assets with the special servicer each have
individual balances that represent less than 5.3% of the total pool
trust balance. S&P estimated losses for the 37 specially serviced
assets, arriving at a weighted-average loss severity of 57.7%.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
RATINGS LIST
Citigroup Commercial Mortgage Trust 2007-C6
Commercial mortgage pass-through certificates series 2007-C6
Rating
Class Identifier To From
A-1A 17311QBL3 NR A+ (sf)
A-M 17311QBM1 NR BB- (sf)
A-J 17311QBN9 CCC (sf) B- (sf)
B 17311QBP4 CCC- (sf) B- (sf)
A-MFX 17311QAC4 NR BB- (sf)
A-JFX 17311QAE0 CCC (sf) B- (sf)
NR--Not rated
CITIGROUP COMMERCIAL 2017-B1: Fitch to Rate Class F Certs 'B-sf'
----------------------------------------------------------------
Fitch Ratings has issued a presale report on Citigroup Commercial
Mortgage Trust 2017-B1 commercial mortgage pass-through
certificates.
Fitch expects to rate the transaction and assign the Rating
Outlooks:
-- $21,308,000 class A-1 'AAAsf'; Outlook Stable;
-- $52,843,000 class A-2 'AAAsf'; Outlook Stable;
-- $245,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $268,110,000 class A-4 'AAAsf'; Outlook Stable;
-- $38,890,000 class A-AB 'AAAsf'; Outlook Stable;
-- $89,450,000 class A-S 'AAAsf'; Outlook Stable;
-- $715,601,000a class X-A 'AAAsf'; Outlook Stable;
-- $38,016,000 class B 'AA-sf'; Outlook Stable;
-- $74,915,000a class X-B 'A-sf'; Outlook Stable;
-- $36,899,000 class C 'A-sf'; Outlook Stable;
-- $41,370,000b class D 'BBB-sf'; Outlook Stable;
-- $41,370,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $21,245,000b class E 'BB-sf'; Outlook Stable;
-- $21,245,000ab class X-E 'BB-sf'; Outlook Stable;
-- $8,945,000b class F 'B-sf'; Outlook Stable.
The following classes are not expected to be rated by Fitch:
-- $8,945,000b class G;
-- $17,890,000ab class X-F;
-- $23,481,024b class H;
-- $23,481,024ab class X-H;
-- $47,079,054b VRR Interest.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Vertical credit risk retention interest representing no less
than 5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity as of the closing date.
The expected ratings are based on information provided by the
issuer as of Aug. 7, 2017.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 48 loans secured by 69
commercial properties having an aggregate principal balance of
$941,581,078 as of the cut-off date. The loans were contributed to
the trust by Citi Real Estate Funding Inc, Citigroup Global Markets
Realty Corp, Bank of America, National Association, and Morgan
Stanley Mortgage Capital Holdings LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 79.4% of the properties
by balance, cash flow analysis of 80.5%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Fitch Leverage In-line with Recent Transactions: The transaction
exhibits leverage that is in-line with other recent Fitch-rated
multiborrower transactions. The pool's Fitch DSCR and LTV of 1.27x
and 100.9%, respectively, are comparable to the 2017 YTD averages
of 1.25x and 101.9%. However, excluding the investment-grade credit
option loans, the pool has a Fitch DSCR and LTV of 1.23x and
109.6%, respectively, exceeding the average leverage for 2017 of
1.20x and 106.5%.
Investment-Grade Credit Opinion Loans: Three loans representing
17.6% of the pool have investment-grade credit opinions. The
General Motors Building (9.9% of the pool) has a credit opinion of
'AAAsf*', Two Fordham Square (5.6% of the pool) has a credit
opinion of 'BBB-sf*', and Del Amo Fashion Center (2.2% of the pool)
has a credit opinion of 'BBBsf*'.
Higher Hotel Concentration: Loans secured by hotels make up 18.9%
of the pool, above the YTD 2017 average of 14.9% for other
Fitch-rated multiborrower transactions. Hotels have the highest
probability of default in Fitch's multiborrower model, all else
equal. Loans secured by office properties and mixed-use properties
that are predominantly office make up 33.8% of the pool. Loans
secured by retail properties and mixed-use properties that are
predominantly retail make up 26.6% of the pool. Office and retail
properties have an average probability of default.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 13.3% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the
CGCMT 2017-B1 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
CMLS ISSUER 2014-1: Fitch Affirms 'Bsf' Rating on Class G Certs
---------------------------------------------------------------
Fitch Ratings has affirmed all rated classes of CMLS Issuer Corp.'s
(CMLSI) commercial mortgage pass-through certificates, series
2014-1. A full list of rating actions follows at the end of this
release. All currencies are denominated in Canadian dollars (CAD).
KEY RATING DRIVERS
Overall Stable Performance and Increase in Credit Enhancement: The
pool performance has been stable since Fitch's last rating action.
As of the July 2017 distribution date, the pool's aggregate
principal balance has been reduced 9.4% to $256.96 million from
$283.73 million at issuance with 35 loans remaining. There are no
full-term interest-only loans in the pool and seven loans (16% of
the pool) had an initial interest-only term of four months or less.
There are currently no specially serviced loans, and there are six
loans (20%) on the servicer's watch list.
Canadian Loan Attributes: The ratings reflect strong Canadian
commercial real estate loan performance, including a low
delinquency rate and low historical losses of less than 0.1%, as
well as positive loan attributes such as short amortization
schedules, recourse to the borrower, and additional guarantors. Of
the remaining pool, 84.3% of the loans feature full or partial
recourse to the borrowers and/or sponsors. The pool is scheduled to
amortize 19.2% from the July 2017 cut-off balance to maturity.
Pool Concentrations: The top 10 and 15 loans (including crossed
loans) account for 66.6% and 80.6% of the pool, respectively. Of
the top 15 loans, 13 (67.2% of the pool) have full or partial
recourse to the borrowers and/or to the guarantor of the loan.
Retail properties back 40.1% of the pool while multifamily loans
comprise 18.5% of the pool.
Energy Market Exposure: The pool has four loans (15.4%) with
recourse backed by properties in Alberta and Saskatchewan,
provinces that have experienced volatility from the energy sector
in the past few years. The largest is Manning Crossing, a 96.8%
occupied retail property in Edmonton, AB. Operating performance of
Clearwater Suites (3.5%), a 150-key extended stay hotel located in
Fort McMurray, AB, has been affected by the energy markets and the
area wildfires in May 2016 although the loan remains current. The
loan has full recourse to the borrower, sponsor and manager.
The largest loan in the pool is the Zzen Portfolio (16.3% of the
pool), which is secured by five cross-collateralized and
cross-defaulted loans, secured by three industrial properties, one
hotel, and an unanchored shopping center in Vaughan, ON. The loans
are full recourse to the borrower. The loan is sponsored by Vic De
Zen, Dominic D'Amico, and Fortunato Bordin. The hotel is a 152-key
Westin Element that was developed in 2013.
The second largest loan is the Royal Henley Retirement Residence
(8.4% of the pool), which is secured by a 118-unit senior housing
community in St. Catharines, ON. The subject, constructed in 2010,
is composed of an 80%/20% split between independent living and
assisted living units. Common area amenities include dining rooms,
lounge areas, a fitness center, pool, cafe, and a salon and spa. As
of the servicer-provided March 2017 data, the property was
approximately 97% occupied.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. If there are
significant performance declines or prolonged impact on loan
performance and property values from the downturn in energy prices,
downgrades could be possible. However, any potential losses could
be mitigated by loan recourse provisions.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings:
-- $109.4 million class A-1 at 'AAAsf'; Outlook Stable;
-- $109.6 million class A-2 at 'AAAsf'; Outlook Stable;
-- $6 million class B at 'AAsf'; Outlook Stable;
-- $8.9 million class C at 'Asf'; Outlook Stable;
-- $8.5 million class D at 'BBBsf'; Outlook Stable;
-- $3.5 million class E at 'BBB-sf'; Outlook Stable;
-- $2.8 class F at 'BBsf'; Outlook Stable;
-- $2.8 million class G at 'Bsf'; Outlook Stable.
Fitch does not rate the interest-only class X or the $5.3 million
non-offered class H.
COMM 2013-CCRE11: Fitch Affirms Bsf Rating on Class F Certs
-----------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Deutsche Bank Securities,
Inc.'s COMM 2013-CCRE11 commercial mortgage pass-through
certificates, series 2013-CCRE11.
KEY RATING DRIVERS
Stable Performance: As of the July 2017 distribution date, the
pool's aggregate principal balance had been paid down by 2.0% to
$1.244 billion from $1.270 billion at issuance. One loan is
defeased (the 10th largest loan, 3.2% of the pool) and there are no
specially serviced loans. Four loans are on the servicer's
watchlist (4.6% of the pool), one of which is consider a Fitch Loan
of Concern (0.1% of the pool). The loan of concern is
collateralized by a multifamily portfolio located in Brooklyn, NY;
the DSCR has declined with increasing expenses and rents well below
market due to rent stabilized status of the properties.
Pool Concentration: The pool is more concentrated by loan size than
average transactions in 2012 and 2013. The entire pool consists of
46 loans, well below the average 64 and 70 of 2012 and 2013,
respectively. The top 10 loans represent 64.4% of the pool, which
is higher than the average concentrations of 54.2% in 2012 and
54.5% in 2013.
Interest-Only Loan Periods: Approximately 73% of the pool has an
interest-only (IO) component; 31.1% is fully IO and 41.9% has a
partial IO component. Roughly half of the partial IO periods
expired between 2014 and 2016 (23.9% of the pool). Around 11.2% of
the pool have partial IO loan terms that expired in 2016 and the
remaining partial IO terms are due to expire between 2018 and 2019
(20.8% of pool).
RATING SENSITIVITIES
The ratings are expected to remain stable. Rating upgrades may
occur with significant paydown and defeasance. Upgrades may be
limited due to the exposure to an asset outside of the U.S.
(currently 7.2% of the pool). Rating downgrades are possible should
overall pool performance decline.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following ratings as indicated:
-- $16.6 million class A-1 at 'AAAsf'; Outlook Stable;
-- $90 million class A-2 at 'AAAsf'; Outlook Stable;
-- $70.3 million class A-SB at 'AAAsf'; Outlook Stable;
-- $275 million class A-3 at 'AAAsf', Outlook Stable;
-- $411.3 million class A-4 at 'AAAsf'; Outlook Stable;
-- $977,506,046* class X-A 'AAAsf'; Outlook Stable;
-- $186,130,000* class X-B 'AA-sf'; Outlook Stable;
-- $114.3 million class A-M at 'AAAsf'; Outlook Stable;
-- $76.2 million class B at 'AA-sf'; Outlook Stable;
-- $46 million class C at 'A-sf'; Outlook Stable;
-- $63.9 million class D at 'BBB-sf'; Outlook Stable;
-- $20.2 million class E at 'BBsf'; Outlook Stable;
-- $17.5 million class F at 'Bsf'; Outlook Stable.
*Notional amount and interest only.
Fitch does not rate the class G or interest-only class X-C
certificates.
COMM 2014-FL5: S&P Affirms B(sf) Rating on 2 Tranches
-----------------------------------------------------
S&P Global Ratings raised its ratings on the class HFL1 and HFL2
nonpooled commercial mortgage pass-through certificates from COMM
2014-FL5 Mortgage Trust, a U.S. commercial mortgage-backed
securities (CMBS) transaction. S&P said, "In addition, we lowered
our ratings on the class KH1 and KH2 nonpooled certificates and
affirmed our ratings on five pooled certificates and three other
nonpooled classes from the same transaction.
"The rating actions follow our analysis of the transaction
primarily using our criteria for rating U.S. and Canadian CMBS
transactions, which included a review of the credit characteristics
and the current and future performance of the collateral securing
the four remaining loans in the pool, the deal structure, and
liquidity available to the trust.
"The raised ratings on the class HFL1 and HFL2 raked certificates
reflect our re-valuation of the Hilton Fort Lauderdale loan. The
$87.0 million trust loan is secured by a 589-key, full-service
hotel in Fort Lauderdale, Fla. The class 'HFL' raked certificates
derive 100% of their cash flows from the subordinated nonpooled
portion of the loan, totaling $28.7 million. Our expected case
value, using a 9.39% weighted average capitalization rate, yielded
a 51.0% S&P Global Ratings' loan-to-value (LTV) ratio on the pool
trust balance and 76.2% on the trust balance.
"The lowered ratings on the class KH1 and KH2 raked certificates
reflect our re-valuation of the K Hospitality Portfolio loan. The
$167.6 million trust loan is secured by 20 full-service,
limited-service, and extended stay lodging properties totaling
1,922 keys in Texas, California, Louisiana, and Oklahoma. The KH
raked certificates derive 100% of their cash flows from the
subordinated nonpooled portion of the loan, totaling $53.8 million.
Our expected case value, using a 10.0% weighted average
capitalization rate, yielded a 96.6% LTV ratio on the pool trust
balance and 142.2% on the trust balance. Details of the two above
loans are below.
"The affirmations on the pooled principal- and interest-paying
certificate classes reflect our expectation that the available
credit enhancement for these classes are more or less within our
estimate of the necessary credit enhancement required for the
current ratings and our views regarding the current and future
performance of the remaining loans. In particular, our analysis
also considered the possibility that the reported performance
declines for the K Hospitality Portfolio loan (see below for
additional details) would improve better than our expectation. In
addition, we also considered the uncertainty surrounding the loan's
maturity. It is our understanding that the loan currently matures
Aug. 9, 2017, and the borrower has not indicated its intentions. As
such, if performance continues to lag behind our expectations
and/or the borrower becomes delinquent on the loan, we may re-visit
our analysis and consider the ratings' impact, if any.
"The affirmation on the class X-EXT interest-only (IO) certificates
is based on our criteria for rating IO securities, under which the
ratings on the IO securities would not be higher than that of the
lowest-rated reference class. The notional balance on class X-EXT
references classes A, B, C, and D.
"The affirmations on the class PC1 and PC2 raked certificates
reflect our analysis of the Park Central loan. The $63.5 million
trust loan is secured by an 849,919 sq. ft. office property in
Dallas, Texas. The PC raked certificates derive 100% of their cash
flow from a subordinate nonpooled component of the loan totaling
$12.6 million. Our property analysis concluded stable operating
performance, resulting in an LTV ratio of 86.3% on the trust
balance.
"The affirmation on the class PCH raked certificates reflects our
analysis of the Peachtree Center Portfolio loan. The $126.0 million
trust loan is secured by a portfolio of seven office properties
totaling 2.4 million sq. ft. and three parking garages totaling
3,589 parking spaces in Atlanta, Ga. The PCH raked certificates
derive 100% of their cash flow from a subordinate nonpooled
component of the loan totaling $8.6 million. Our property analysis
concluded stable operating performance, resulting in an LTV ratio
of 76.3% on the trust balance."
As of the July 17, 2017, trustee remittance report, the trust
consisted of four floating-rate IO loans indexed to one-month LIBOR
(1.159%) with an aggregate pooled trust balance of $340.3 million
and an aggregate trust balance, including the nonpooled
certificates, of $444.1 million. The remaining four loans mature in
2017 or 2018 and all have extension options remaining with final
maturities in 2019. According to the transaction documents, the
borrower will pay the special servicing, work-out, and liquidation
fes, as well as costs and expenses incurred from appraisals and
inspections conducted by the special servicer. No loans are
currently with the special servicer and three loans ($282.1
million, 82.9% of the pool trust balance) are reported on the
master servicer's watchlist. To date, the pooled trust has not
incurred any principal losses.
S&P said, "We based our analysis, in part, on a review of the
available historical performance data, generally for the nine
months ended Sept. 30, 2016, or years ended Dec. 31, 2016, 2015,
2014, and 2013. In addition, we reviewed the most recent available
Smith Travel Research reports for the lodging properties and the
most recent 2017 rent rolls for the office properties provided by
the master servicer to determine our opinion of a sustainable cash
flow for the properties."
Details on the two loans with material cash flow changes are
below:
The K Hospitality Portfolio loan, the second-largest loan in the
pool, has a $167.6 million whole loan trust balance that is divided
into a $113.8 million senior pooled component that makes up 33.4%
of the pool balance and subordinate nonpooled components totaling
$53.8 million that support the class KH1 and KH2 raked
certificates. In addition, the borrowers' equity interests in the
whole loan secure $44.1 million in mezzanine debt. The loan is IO,
pays a floating interest rate of LIBOR plus spread (1.403%, 3.667%,
and 4.517% for the pooled, senior nonpooled, and subordinate
nonpooled, respectively) per year, and currently matures Aug. 9,
2018. The loan has a single one-year extension option remaining.
The loan is secured by a first mortgage lien on the borrowers'
interest in 20 full-service, limited-service, and extended-stay
hotel properties totaling 1,922 keys in Texas, California,
Louisiana, and Oklahoma. Our analysis considered the portfolio's
reported overall performance, particularly the reported overall
revenue per available room (RevPAR), which declined in 2015
($75.98) and in 2016 ($68.30). Per the master servicer, Wells Fargo
Bank N.A. (Wells Fargo), the borrower indicated the decline in
performance at the properties was the result of a number of the
portfolio's local markets being adversely affected by the decline
in demand from the energy sector. Additionally, a number of the
properties in the portfolio are undergoing renovations or were
affected by extraordinary events. Our current analysis assumed that
performance would rebound somewhat from the 2016 levels. Wells
Fargo reported a 2.40x debt service coverage (DSC) for the year
ended Dec. 31, 2016.
The Hilton Fort Lauderdale loan, the third-largest loan in the
pool, has an $87.0 million whole loan balance that is divided into
a $58.3 million senior pooled component that makes up 17.1% of the
pool balance and subordinate nonpooled components totaling $28.7
million that support the class HFL1 and HFL2 raked certificates. In
addition, the borrower's equity interest in the whole loan secures
$28.0 million in mezzanine debt. The loan is IO, pays a floating
interest rate of LIBOR plus spread (1.045%, 3.267%, and 4.167% for
the pooled, senior nonpooled, and subordinate nonpooled,
respectively) per year, and currently matures July 9, 2018. The
loan has a single one-year extension option remaining. The loan is
secured by a first mortgage lien on the borrower's interest in a
589-key full-service hotel in Fort Lauderdale, Fla. as well as the
borrower's leasehold interest in a 33-slip marina. Our analysis
considered the property's reported performance, particularly the
reported RevPAR, which increased in 2015 ($129.11) and in 2016
($134.39). Our analysis considered the upward trending reported
performance in the last few years. Wells Fargo reported a 6.87x DSC
for the year ended Dec. 31, 2016.
RATINGS LIST
COMM 2014-FL5 Mortgage Trust
Commercial mortgage pass-through certificates series 2014-FL5
Rating
Class Identifier To From
A 12635HAA8 AAA (sf) AAA (sf)
X-EXT 12635HAC4 BBB- (sf) BBB- (sf)
B 12635HAD2 AA- (sf) AA- (sf)
C 12635HAE0 A (sf) A (sf)
D 12635HAF7 BBB- (sf) BBB- (sf)
KH1 12635HAL4 B (sf) BB- (sf)
KH2 12635HAM2 B- (sf) B (sf)
HFL1 12635HAN0 BB+ (sf) BB- (sf)
HFL2 12635HAP5 BB- (sf) B- (sf)
PC1 12635HAS9 BB- (sf) BB- (sf)
PC2 12635HAT7 B (sf) B (sf)
PCH 12635HAU4 BB (sf) BB (sf)
CPS AUTO 2015-A: Moody's Affirms B2(sf) Rating on Class E Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded 15 and affirmed 17
securities from CPS Auto Receivables Trusts issued between 2013 and
2015. The transactions are serviced by Consumer Portfolio Services,
Inc.
Complete rating actions are as follow:
Issuer: CPS Auto Receivables Trust 2013-A
Class A, Affirmed Aaa (sf); previously on Nov 23, 2016 Upgraded to
Aaa (sf)
Class B, Upgraded to Aa1 (sf); previously on Nov 23, 2016 Affirmed
Aa2 (sf)
Class C, Upgraded to A1 (sf); previously on Nov 23, 2016 Affirmed
Baa2 (sf)
Class D, Upgraded to Baa3 (sf); previously on Nov 23, 2016 Affirmed
Ba2 (sf)
Class E, Upgraded to Ba1 (sf); previously on Nov 23, 2016 Affirmed
B2 (sf)
Issuer: CPS Auto Receivables Trust 2013-B
Class A Notes, Affirmed Aaa (sf); previously on Nov 23, 2016
Upgraded to Aaa (sf)
Class B Notes, Upgraded to Aa1 (sf); previously on Nov 23, 2016
Affirmed Aa2 (sf)
Class C Notes, Upgraded to A3 (sf); previously on Nov 23, 2016
Affirmed Baa2 (sf)
Class D Notes, Upgraded to Baa3 (sf); previously on Nov 23, 2016
Affirmed Ba2 (sf)
Class E Notes, Upgraded to Ba1 (sf); previously on Nov 23, 2016
Affirmed B2 (sf)
Issuer: CPS Auto Receivables Trust 2013-C
Class B Notes, Affirmed Aaa (sf); previously on Nov 23, 2016
Affirmed Aaa (sf)
Class C Notes, Affirmed Aaa (sf); previously on Nov 23, 2016
Upgraded to Aaa (sf)
Class D Notes, Upgraded to Aa3 (sf); previously on Nov 23, 2016
Upgraded to Baa2 (sf)
Class E Notes, Affirmed B2 (sf); previously on Nov 23, 2016
Affirmed B2 (sf)
Issuer: CPS Auto Receivables Trust 2013-D
Class B Notes, Affirmed Aaa (sf); previously on Nov 23, 2016
Affirmed Aaa (sf)
Class C Notes, Upgraded to Aaa (sf); previously on Nov 23, 2016
Upgraded to Aa1 (sf)
Class D Notes, Upgraded to Aa3 (sf); previously on Nov 23, 2016
Upgraded to Ba1 (sf)
Class E Notes, Affirmed B2 (sf); previously on Nov 23, 2016
Affirmed B2 (sf)
Issuer: CPS Auto Receivables Trust 2014-A
Class C Notes, Upgraded to Aaa (sf); previously on Nov 23, 2016
Upgraded to Aa1 (sf)
Class B Notes, Affirmed Aaa (sf); previously on Nov 23, 2016
Affirmed Aaa (sf)
Class D Notes, Upgraded to A1 (sf); previously on Nov 23, 2016
Affirmed Ba2 (sf)
Class E Notes, Affirmed B2 (sf); previously on Nov 23, 2016
Affirmed B2 (sf)
Issuer: CPS Auto Receivables Trust 2014-D
Class A Notes, Affirmed Aaa (sf); previously on Nov 23, 2016
Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on Nov 23, 2016
Upgraded to Aaa (sf)
Class C Notes, Upgraded to Aa2 (sf); previously on Nov 23, 2016
Affirmed Baa2 (sf)
Class D Notes, Affirmed Ba3 (sf); previously on Nov 23, 2016
Affirmed Ba3 (sf)
Class E Notes, Affirmed B2 (sf); previously on Nov 23, 2016
Affirmed B2 (sf)
Issuer: CPS Auto Receivables Trust 2015-A
Class A Notes, Affirmed Aaa (sf); previously on Nov 23, 2016
Affirmed Aaa (sf)
Class B Notes, Affirmed Aaa (sf); previously on Nov 23, 2016
Upgraded to Aaa (sf)
Class C Notes, Upgraded to A1 (sf); previously on Nov 23, 2016
Affirmed Baa2 (sf)
Class D Notes, Affirmed Ba3 (sf); previously on Nov 23, 2016
Affirmed Ba3 (sf)
Class E Notes, Affirmed B2 (sf); previously on Nov 23, 2016
Affirmed B2 (sf)
RATINGS RATIONALE
The upgrades are based on the build-up of credit enhancement due to
non-declining reserve accounts. Other credit enhancement for the
deals includes overcollateralization and the sequential pay
structure of transactions issued after 2013-B. CPS transactions
issued prior to the 2013-C (ie, the 2013-A and 2013-B transactions)
have credit enhancement structures, in which bonds are due to
receive target payments. Weak deal performance has been offset in
part by the build-up of credit enhancement for those transactions.
The lifetime cumulative net loss (CNL) expectation was increased on
the 2013-C transaction from 19.00% to 20.00% and were decreased on
the 2014-A and 2015-A transactions from 19.00% to 18.00%. The CNL
expectations were unchanged at 19.00% on the remaining
transactions. The increased CNL expectation was due to worse than
expected collateral performance while the decreased CNL
expectations were due to better than expected collateral
performance.
Below are key performance metrics (as of the July 2017 distribution
date) and credit assumptions for each affected transaction. Credit
assumptions include Moody's expected lifetime CNL expected loss
expressed as a percentage of the original pool balance; Moody's
lifetime remaining CNL expectation and Moody's Aaa (sf) level, both
expressed as a percentage of the current pool balance. The Aaa
level is the level of credit enhancement consistent with a Aaa (sf)
rating for the given asset pool. Performance metrics include pool
factor or the ratio of the current collateral balance to the
original collateral balance at closing; total credit enhancement,
which typically consists of subordination, overcollateralization,
and a reserve fund; and per annum excess spread.
Issuer: CPS Auto Receivables Trust 2013-A
Lifetime CNL expectation - 19.00%; prior expectation (November
2016) -- 19.00%
Lifetime Remaining CNL expectation - 17.91%
Aaa (sf) level - 40.0%
Pool factor - 11.50%
Total Hard credit enhancement - Class A 43.44%, Class B 34.44%,
Class C 29.68%, Class D 24.56%, Class E 23.31%
Excess Spread per annum -- Approximately 15.21%
Issuer: CPS Auto Receivables Trust 2013-B
Lifetime CNL expectation - 19.00%; prior expectation (November
2016) -- 19.00%
Lifetime Remaining CNL expectation - 17.72%
Aaa (sf) level - 40.00%
Pool factor - 14.21%
Total Hard credit enhancement - Class A Notes 41.28%, Class B Notes
32.28%, Class C Notes 24.01%, Class D Notes 21.43%, Class E Notes
21.08%
Excess Spread per annum -- Approximately 14.89%
Issuer: CPS Auto Receivables Trust 2013-C
Lifetime CNL expectation - 20.00%; prior expectation (November
2016) -- 19.00%
Lifetime Remaining CNL expectation - 20.46%
Aaa (sf) level - 42.00%
Pool factor - 17.26%
Total Hard credit enhancement - Class B Notes 92.78%, Class C Notes
58.02%, Class D Notes 29.05%, Class E Notes 13.12%
Excess Spread per annum -- Approximately 11.66%
Issuer: CPS Auto Receivables Trust 2013-D
Lifetime CNL expectation - 19.00%; prior expectation (November
2016) -- 19.00%
Lifetime Remaining CNL expectation - 18.40%
Aaa (sf) level - 42.00%
Pool factor - 19.65%
Total Hard credit enhancement - Class B Notes 84.53%, Class C Notes
54%, Class D Notes 28.56%, Class E Notes 14.54%
Excess Spread per annum -- Approximately 12.35%
Issuer: CPS Auto Receivables Trust 2014-A
Lifetime CNL expectation - 18.00%; prior expectation (November
2016) -- 19.00%
Lifetime Remaining CNL expectation - 18.72%
Aaa (sf) level - 42.00%
Pool factor - 24.06%
Total Hard credit enhancement - Class B Notes 84.72%, Class C Notes
46.27%, Class D Notes 25.49%, Class E Notes 14.06%
Excess Spread per annum -- Approximately 13.40%
Issuer: CPS Auto Receivables Trust 2014-D
Lifetime CNL expectation - 19.00%; prior expectation (November
2016) -- 19.00%
Lifetime Remaining CNL expectation - 19.22%
Aaa (sf) level - 44.00%
Pool factor - 37.87%
Total Hard credit enhancement - Class A Notes 95.57%, Class B Notes
55.95%, Class C Notes 28.23%, Class D Notes 16.34%, Class E Notes
7.76%
Excess Spread per annum -- Approximately 12.76%
Issuer: CPS Auto Receivables Trust 2015-A
Lifetime CNL expectation - 18.00%; prior expectation (November
2016) -- 19.00%
Lifetime Remaining CNL expectation - 19.26%
Aaa (sf) level - 44.00%
Pool factor - 44.76%
Total Hard credit enhancement - Class A Notes 81%, Class B Notes
47.49%, Class C Notes 24.02%, Class D Notes 13.97%, Class E Notes
6.7%
Excess Spread per annum -- Approximately 13.21%
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
October 2016.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the vehicles securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US job market and the market for used vehicles. Other reasons
for better-than-expected performance include changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the vehicles securing an obligor's promise of
payment. Transaction performance also depends greatly on the US job
market and the market for used vehicles. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
CREDIT SUISSE 2004-C3: Fitch Affirms 'Csf' Rating on Cl. E Certs
----------------------------------------------------------------
Fitch Ratings has affirmed nine classes of Credit Suisse First
Boston Mortgage Securities Corporation's commercial mortgage
pass-through certificates, series 2004-C3.
KEY RATING DRIVERS
The affirmations reflect the highly concentrated nature and adverse
selection of the remaining collateral pool.
As of the July 2017 distribution date, the pool's aggregate
principal balance has been reduced by 99.1% to $14.5 million from
$1.6 billion at issuance. Since Fitch's last rating action, the
pool has incurred losses totaling $23 million incurred as a result
of seven real-estate owned (REO) asset liquidations and two loans
resolved via note sales. The transaction has incurred realized
losses totaling $112.7 million (6.9% of the original pool balance)
since issuance. Interest shortfalls totaling $8.3 million are
currently affecting classes E through P.
Pool Concentration and Adverse Selection; Undercollateralization:
Only four loans/assets remain, the largest of which is an REO asset
that comprises 65.7% of the pool. The remainder of the pool
consists of a specially serviced, non-performing matured balloon
loan (7.4%) secured by a multifamily property located in Laredo,
TX; a defeased loan (3.7%) maturing in 2024, and an amortizing
balloon loan (23.2%) secured by a multifamily property located in
Wimauma, FL maturing in 2019. The pool is undercollateralized by
$3.3 million.
REO Asset: The REO Counsel Square asset (65.7% of pool) is an
eight-building, 109,146 square foot suburban office complex located
in New Port Richey, FL. The loan transferred to special servicing
in November 2012 due to imminent non-monetary default and the asset
became REO in October 2013. The property was 63.7% occupied as of
December 2016, down from 78.1% at year-end 2015 and 100% at
issuance. The asset failed to trade in a November 2016 auction and
is currently being listed for sale. According to the special
servicer, the property's largest tenant, Pasco County Sheriff
(21.9% of net rentable area and lease expiry in June 2019), has
shown interest in submitting an offer to purchase the property and
is currently going through the approval process.
RATING SENSITIVITIES
Upgrades are not expected due to adverse selection and significant
losses anticipated on the remaining pool. Downgrades to class E
will occur as losses are realized.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following classes:
-- $8.4 million class E at 'Csf'; RE 95%;
-- $6.1 million class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1 through D certificates have paid in full. Fitch does
not rate the class N and P certificates. Fitch previously withdrew
the ratings on the interest-only class A-X and A-SP certificates.
CSFB 2006-TFL2: S&P Lowers Class K Certs Rating to 'D(sf)'
----------------------------------------------------------
S&P Global Ratings lowered its rating on the class K commercial
mortgage pass-through certificates from Credit Suisse First Boston
(CSFB) Mortgage Securities Corp.'s series 2006-TFL2, a U.S.
commercial mortgage-backed securities (CMBS) transaction. S&P said,
"In addition, we affirmed our ratings on three other classes from
the same transaction."
S&P said, "The rating actions reflect our analysis of the
transaction, primarily using our criteria for rating U.S. and
Canadian CMBS transactions, which included a review of the
collateral securing the transaction, the deal structure, and
liquidity available to the trust, as well as using our criteria,
"Structured Finance Temporary Interest Shortfall Methodology,"
published Dec. 15, 2015.
"Specifically, we lowered our rating on class K to 'D (sf)' due to
accumulated interest shortfalls that we expect will remain
outstanding in the foreseeable future. The class had accumulated
interest shortfalls outstanding for nine consecutive months.
According to the July 17, 2017, trustee remittance report, the
class incurred monthly interest shortfalls totaling $71,895 due to
an appraisal subordinate entitlement reduction amount.
"The affirmations on classes G, H, and J reflect our expectation
that the available credit enhancement for these classes will be
within our estimate of the necessary credit enhancement required
for the current ratings, as well as our views regarding the
collateral's current and future performance.
"While available credit enhancement levels suggest positive rating
movements on these three classes, our analysis also considered the
classes' susceptibility to liquidity interruption if the master
servicer, KeyBank Real Estate Capital, stops advancing interest
payments on the loan. We also considered the ongoing litigation and
uncertainty surrounding its resolution timing, as well as the asset
resolution timing of the specially serviced JW Marriott Starr Pass
loan--the sole remaining loan in the trust."
As of the July 17, 2017, trustee remittance report, the trust
consisted of the specially serviced floating-rate JW Marriott Starr
Pass loan indexed to one-month LIBOR (1.16%) with a $78.0 million
pooled trust balance (total reported exposure of $84.8 million) and
a $145.0 million whole-loan balance. The loan is secured by a
575-room, full-service resort hotel in Tucson, Ariz. The loan,
which has a reported nonperforming, matured balloon payment status,
was transferred to the special servicer on April 21, 2010, due to
imminent monetary default. The loan matured on Aug. 9, 2010. The
reported debt service coverage for the nine months ended Sept. 30,
2016 was 0.57x.
According to the special servicer, CWCapital Asset Management LLC
(CWCapital), a receiver was appointed on Nov. 14, 2011, and the
property is operating under a management agreement with Marriott
Hotel Services Inc. CWCapital indicated that there is ongoing
litigation between the trust, borrower, and other third-party
entities regarding various land issues, and the litigation
resolution timing is uncertain at this point. CWCapital stated that
once the court issues a final judgment order, it plans to complete
the foreclosure and sell the property. CWCapital also mentioned
that the property's cash flow is currently being used to pay down
debt service advances and legal expenses. An appraisal reduction
amount totaling $28.0 million is in effect against the loan. S&P
expects a minimal loss (less than 25%) upon the loan's eventual
resolution.
RATINGS LIST
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2006-TFL2
Rating
Class Identifier To From
G 22545RAL0 B- (sf) B- (sf)
H 22545RAM8 CCC+ (sf) CCC+ (sf)
J 22545RAN6 CCC (sf) CCC (sf)
K 22545RAP1 D (sf) CCC- (sf)
CSFB MORTGAGE 2003-C4: Moody's Affirms B3 Rating on Class L Certs
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
in CSFB Mortgage Securities Corp. Commercial Mtge Pass-Through
Ctfs. 2003-C4:
Cl. A-X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
Cl. J, Affirmed Aaa (sf); previously on Aug 4, 2016 Affirmed Aaa
(sf)
Cl. K, Affirmed Aaa (sf); previously on Aug 4, 2016 Upgraded to Aaa
(sf)
Cl. L, Affirmed B3 (sf); previously on Aug 4, 2016 Affirmed B3
(sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio and Moody's stressed debt service coverage ratio (DSCR), are
within acceptable ranges.
The ratings on the IO class was affirmed based on the credit
quality of the referenced classes.
Moody's rating action reflects a base expected loss of 11.1% of the
current pooled balance, compared to 10.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 2.9% of the
original pooled balance, compared to 2.9% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Additionally, the methodology used in rating Cl. A-X was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the July 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $19.4 million
from $1.34 billion at securitization. The certificates are
collateralized by eight mortgage loans ranging in size from 1% to
21% of the pool. Five loans, constituting 62% of the pool, have
defeased and are secured by US government securities.
No loans are on the master servicer's watchlist. The watchlist
includes loans that meet certain portfolio review guidelines
established as part of the CRE Finance Council (CREFC) monthly
reporting package. As part of Moody's ongoing monitoring of a
transaction, the agency reviews the watchlist to assess which loans
have material issues that could affect performance.
Thirty-one loans have been liquidated from the pool with a loss,
resulting in an aggregate realized loss of $36.8 million (for an
average loss severity of 25%). One loan, constituting 21% of the
pool, is currently in special servicing. The specially serviced
loan is Park Square Center Loan ($3.9 million -- 20.6% of the
pool), which is secured by a 55,000 square foot (SF) neighborhood
shopping center located approximately eight miles south of Columbus
in Grove City, Ohio. The loan transferred into special servicing in
July 2013 due to maturity default and became REO in January 2014.
As of June 2017, the property was 88% occupied, the same as at last
review. This loan has been deemed non recoverable by the master
servicer and will be going to the Ten X auction in September 2017.
Moody's anticipates a loss for this loan.
Moody's received full year 2016 operating results for 100% of the
pool. Moody's weighted average conduit LTV is 29%, compared to 31%
at Moody's last review. Moody's conduit component excludes loans
with structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 25% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.9%.
Moody's actual and stressed conduit DSCRs are 1.61X and 4.11X,
respectively, compared to 1.63X and 4.06X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The remaining two conduit loans comprise 17.7% of the pool balance.
The largest loan is the Pemstar, Inc. Headquarters Loan ($3.3
million --17.1% of the pool), which is secured by a 260,000 SF
office/industrial property approximately one hour south of
Minneapolis in Rochester, Minnesota. In 2007, Benchmark Electronics
acquired Pemstar, Inc. and the property is now 100% occupied by
Benchmark. The loan is fully amortizing and performance has been
stable. Due to the single tenant nature of this loan, a lit/dark
analysis was incorporated in the analysis. Moody's LTV and stressed
DSCR are 30% and 3.65X, respectively, compared to 34% and 3.23X at
the last review.
The second conduit loan is the Greentree Apartments Loan ($115,913
-- 0.6% of the pool), which is secured by a 68-unit townhouse style
apartment located 14 miles east of Columbus, Ohio in Reynoldsburg,
Ohio.
As of December 2016, the property was 99% leased, the same as at
last review. The loan is fully amortizing and performance has been
stable. Moody's LTV and stressed DSCR are 6% and >4.0X,
respectively, compared to 12% and >4.0X at the last review.
DBJPM MORTGAGE 2016-C3: Fitch Affirms 'BBsf' Rating on Cl. E Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of DBJPM Mortgage Trust
commercial mortgage pass-through certificates, series 2016-C3.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the
underlying collateral
Stable Performance: The overall pool performance remains stable
from issuance. There are no delinquent or specially serviced loans.
As of the July 2017 distribution date, the pool's aggregate balance
has been reduced by 0.5% to $889.5 million, from $893.7 million at
issuance. One loan (1.7%) is on the servicer's watch list, and none
are considered Fitch Loans of Concern.
High Retail Loan Concentration: Loans backed by retail properties
represent 28.7% of the pool, including three (19.9%) in the top 15.
The retail concentration increases to 45.2% when included two
mixed-use properties, which are predominantly retail properties.
Three of these loans are backed by regional malls, one of which has
exposure to a non-collateral JCPenney and Dillard's. The next
largest concentration is lodging, which accounts for 20.8% of the
pool balance.
Concentrated Pool: At issuance, the pool was more concentrated than
other Fitch-rated multiborrower transactions of this vintage. The
top 10 loans accounted for 64% of the pool at issuance which
compares with 54.8% and 49.3% for multiborrower transactions in
2016 and 2015, respectively. The top 15 loans in the pool accounted
for 78.1% of the pool, which compares with 68% and 60% for
multiborrower transactions during 2016 and 2015, respectively.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative ratings migration until a material
economic or asset-level event changes the transaction's overall
portfolio-level metrics.
Fitch has affirmed the following ratings:
-- $29,344,561 class A-1 at 'AAAsf'; Outlook Stable;
-- $6,084,000 class A-2 at 'AAAsf'; Outlook Stable;
-- $11,000,000 class A-3 at 'AAAsf'; Outlook Stable;
-- $45,000,000 class A-SB at 'AAAsf'; Outlook Stable;
-- $250,000,000 class A-4 at 'AAAsf'; Outlook Stable;
-- $279,987,000 class A-5 at 'AAAsf'; Outlook Stable;
-- $696,266,561b class X-A at 'AAAsf'; Outlook Stable;
-- $74,851,000 class A-M at 'AAAsf'; Outlook Stable;
-- $44,687,000 class B at 'AA-sf'; Outlook Stable;
-- $36,867,000 class C at 'A-sf'; Outlook Stable;
-- $44,687,000ab class X-B at 'AA-sf'; Outlook Stable;
-- $82,671,000ab class X-C at 'BBB-sf'; Outlook Stable;
-- $45,804,000a class D at 'BBB-sf'; Outlook Stable;
-- $17,874,000a class E at 'BBsf'; Outlook Stable.
The following classes were not rated:
-- $8,938,000a class F;
-- $10,054,000a class G;
-- $29,047,404a class H.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
DIAMOND BRITE: Racer Wash Buying San Antonio Property for $3.1M
---------------------------------------------------------------
Diamond Brite Enterprises, LLC, asks the U.S. Bankruptcy Court for
the Western District of Texas to authorize the sale of all personal
property and buildings located on the leased property at 18403 Rim
Drive, San Antonio, Texas, legally described as NCB 14747 Blk 5 Lot
11 (The Rim UT-15), and the assignment of the ground lease with
Hines Global REIT to Racer Wash Management, LLC and/or assigns for
$3,075,000.
The Debtor's Schedules and Statement of Affairs identified that the
Debtor owns a cash wash business on the Leased Property, improved
with a car wash business. Hines Global owns the property and is
the landlord. Any sale includes the assumption and assignment of
the lease.
The Commercial Contract was receipted with Title One Texas on July
20, 2017 which is the Effective Date. The sale is part of a
funding mechanism for the Plan. The Debtor proposes to sell this
property prior to confirmation of the Plan. The sale will be made
"as is, where is," with no representations or warranties of any
kind, except as set forth in the Contract; and free and clear of
all liens and encumbrances. The Buyer has a 30-day feasibility
period which will expire on Aug. 19, 2017. The Closing is to occur
15 days after the expiration of the feasibility period or on Sept.
4, 2017.
A copy of the Contract attached to the Motion is available for free
at:
http://bankrupt.com/misc/Diamond_Brite_25_Sales.pdf
These entities assert a lien on the property:
a. Community Bank of Texas holds a lien on the property to
secure a debt in the approximate amount of $1,393,627.
b. Bexar County has filed a proof of claim (Claim No. 2) asserts
a tax lien on the property to secure a debt in the approximate
amount of $43,892.
c. SETEDF asserts a lien on the equipment to secure a debt in
the approximate amount of $934,685.
d. Hines Global may assert a secured claim for ad valorem taxes
it paid in the amount of $161,421.
The sale contemplates and requires the debtor to assume and assign
the ground lease with Hines Global where the car wash is located.
If the Contract closing and is funded, the Debtor is asking to
assume and assign the Hines Global Lease. It asserts there is no
default under the lease. However, Hines Global paid certain ad
valorem taxes on the property in the amount of $161,421. The
Debtor will reimburse Hines Global for this tax payment under this
agreement.
Elliot Silverstone Co. and Attlee Realty, LLC are Realtors
representing the Debtor and the Buyer respectively. Each will
receive 2.5% Realtor Fee for a total of 5%.
The Debtor proposes that the first proceeds of sale be used to pay
all normal and customary cost of closing including survey cost,
title policy, and Realtor Fees, if any. All ad valorem taxes will
be paid at closing. In addition, it proposes to pay the claims of
Community Bank, SETEDF, Hines Global and the IRS, once the claims
are determined. The deadline to file proofs of claims is Oct. 10,
2017.
The Debtor asserts the sale proceeds will be sufficient to pay all
creditors based on these estimates: (i) Closing Cost - $17,000;
(ii) Realtor Fees - $153,750; (iii) Ad Valorem - $43,892
(2015-2017); (iv) Hines Global - $161,421 (cure default); (v)
Community Bank - $1,393,627; (vi) SETEDF - $934,685; (vii) IRS -
$143,816 ($40,000 is for un-assessed FICA taxes); (viii) Unsecureds
- $215,329; and (ix) Remaining Balance: $122,436.
In the exercise of its business judgment, Debtor has determined
that the proposed sale to the Purchaser is, at present, the highest
and best offer under the circumstances and will maximize the value
of the Estate.
The Debtor asks the Court to waive the stay under Bankruptcy Rules
6004(g) and 6006(d).
The Purchaser:
RACER WASH MANAGEMENT, LLC
3309 67th Street, Ste 22
Lubbock, TX 79413
Telephone: (806) 543-2775
E-mail: andrew@racerwash.com
keith@lubbockfileroom.com
The Realtors:
SILVERSTONE REAL ESTATE SERVS
Elliot Silverstone
7100 Spurlock
Austin, TX 78731
Telephone: (512) 416-1000
E-mail: elliot@silverstoneco.com
ATTLEE REALTY, LLC
6633 Eldorado Pkwy, Ste 410
McKinney, TX 75070
Telephone: (972) 832-8219
Facsimile: (214) 310-5118
E-mail: veronica@attleerealty.com
The Landlord can be reached at:
HINES GLOBAL REIT
SAN ANTONIO RETAIL I LP
2800 Post Oak Blvd., Suite 4800
Houston, TX 77056
About Diamond Brite
Diamond Brite Enterprises, LLC --
http://www.diamondbritecarcare.com/-- is a full service car wash
and oil & lube services provider in San Antonio, Texas.
Diamond Brite filed a Chapter 11 petition (Bankr. W.D. Tex. Case
No. 17-51391) on June 13, 2017. In its petition, the Debtor
estimated $1 million to $10 million in assets and liabilities. The
petition was signed by Andrew L. Foster, manager.
The Hon. Craig A. Gargotta presides over the case.
Dean W. Greer, Esq., at the Law Offices of Dean W. Greer, serves
as
bankruptcy counsel.
DRIVE AUTO 2017-2: S&P Assigns BB(sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to Drive Auto Receivables
Trust 2017-2's $947.89 million automobile receivables-backed notes
series 2017-2.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect:
* The availability of 66.1%, 59.6%, 49.8%, 39.6% and 36.9% of
credit support for the class A (consisting of classes A-1, A-2, and
A-3), B, C, , and E notes, respectively, based on stressed cash
flow scenarios (including excess spread), which provide coverage of
more than 2.35x, 2.10x, 1.70x, 1.35x, and 1.25x for our
27.00%-28.00% expected cumulative net loss (CNL). These break-even
scenarios cover total cumulative gross defaults of 94%, 85%, 71%,
61% and 57%, respectively.
* The timely interest and principal payments made under stressed
cash flow modeling scenarios are appropriate for the assigned
ratings.
* The expectation that under a moderate ('BBB') stress scenario
(1.35x S&P's expected loss level), all else being equal, S&P's
ratings on the class A and B notes ('AAA (sf)' and 'AA (sf)',
respectively) will remain at the assigned ratings, S&P's rating on
the class C notes ('A (sf)') will remain within one category of the
assigned rating, ans S&P's rating on the class D notes ('BBB (sf)')
will remain within two rating categories of the assigned rating
while they are outstanding. The class E 'BB (sf)' rated notes will
remain within two rating categories of the assigned rating during
the first year, but will eventually default under the 'BBB' stress
scenario, after having received 66%-92% of their principal. These
rating
movements are within the limits specified by S&P's credit stability
criteria (see "Methodology: Credit Stability Criteria," published
May 3, 2010).
* The originator/servicer's history in the subprime/specialty auto
finance business.
* S&P's analysis of 10 years of static pool data on Santander
Consumer USA Inc.'s lending programs.
* The transaction's payment/credit enhancement and legal
structures.
RATINGS ASSIGNED
Drive Auto Receivables Trust 2017-2
Class Rating Type Interest Amount
rate (mil. $)
A-1 A-1+ (sf) Senior Fixed 118.00
A-2-A AAA (sf) Senior Fixed 146.00
A-2-B AAA (sf) Senior Float 60.00
A-3 AAA (sf) Senior Fixed 96.79
B AA (sf) Subordinate Fixed 135.76
C A (sf) Subordinate Fixed 177.07
D BBB (sf) Subordinate Fixed 159.96
E BB (sf) Subordinate Fixed 54.31
DRYDEN XXVIII: S&P Gives Prelim B-(sf) Rating on Class B-3R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1R, A-2R, A-3R, B-1R, B-2R, and B-3R replacement notes from
Dryden XXVIII Senior Loan Fund, a collateralized loan obligation
(CLO) originally issued in 2013 that is managed by PGIM Inc. S&P
also assigned a rating to the new class X notes, which were created
in connection with the refinancing. The replacement notes will be
issued via a proposed supplemental indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
The preliminary ratings are based on information as of Aug. 9,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
S&P said, "On the Aug. 15, 2017, refinancing date, the proceeds
from the replacement note issuance are expected to redeem the
original notes. At that time, we anticipate withdrawing the ratings
on the original notes and assigning ratings to the replacement
notes. However, if the refinancing doesn't occur, we may affirm the
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes.
"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as presented to us in
connection with this review, to estimate future performance. In
line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
PRELIMINARY RATINGS ASSIGNED
Dryden XXVIII Senior Loan Fund
Replacement class Rating Amount (mil. $)
A-1R AAA (sf) 296.50
A-2R AA (sf) 77.00
A-3R A (sf) 30.50
B-1R BBB (sf) 25.55
B-2R BB- (sf) 23.30
B-3R B- (sf) 7.45
New Class Rating Amount (mil. $)
X AAA (sf) 4.00
DT AUTO 2017-3: S&P Gives Prelim. BB Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to DT Auto
Owner Trust 2017-3's $442.78 million asset-backed notes series
2017-3.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of Aug. 3,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 66.9%, 61.1%, 52.0%, 43.1%,
and 37.4% credit support for the class A, B, C, D, and E notes,
respectively, based on stressed break-even cash flow scenarios
(including excess spread). These credit support levels provide
approximately 2.20x, 2.00x, 1.65x, 1.35x, and 1.20x coverage of our
expected net loss range of 29.50%-30.50% for the class A, B, C, D,
and E notes, respectively. Credit enhancement also covers
cumulative gross losses of approximately 95.50%, 87.35%, 74.24%,
61.63%, and 53.43% respectively, assuming a 30% recovery rate.
-- The timely interest and principal payments by the legal final
maturity dates made under stressed cash flow modeling scenarios
that we deem appropriate for the assigned preliminary ratings.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, the ratings on the class A, B, and C notes would not
likely be lowered while outstanding, and the class D notes would
likely remain within one category of its preliminary 'BBB (sf)'
rating, all else being equal. The rating on the class E notes would
remain within two rating categories of its preliminary 'BB (sf)'
rating during the first year, though class E would ultimately
default in the moderate ('BBB') stress scenario with approximately
58% principal repayment. These potential rating movements are
consistent with its credit stability criteria (see "Methodology:
Credit Stability Criteria," published May 3, 2010).
-- The collateral characteristics of the subprime pool being
securitized, including a high percentage (over 85%) of obligors
with higher payment frequencies (more than once a month), which we
expect will result in a somewhat faster paydown on the pool.
-- The transaction's sequential-pay structure, which builds credit
enhancement (on a percentage-of-receivables basis) as the pool
amortizes.
PRELIMINARY RATINGS ASSIGNED
DT Auto Owner Trust 2017-3
Class Rating Type Interest Amount
rate (mil. $)(i)
A AAA (sf) Senior Fixed 193.88
B AA (sf) Subordinate Fixed 57.76
C A (sf) Subordinate Fixed 69.85
D BBB (sf) Subordinate Fixed 67.38
E BB (sf) Subordinate Fixed 53.91
(i)The actual size of these tranches will be determined on the
pricing date.
ERNEST VICKNAIR: Selling Coin Collection & MidSouth Bancorp Stock
-----------------------------------------------------------------
Ernest Vicknair asks the U.S. Bankruptcy Court for the Eastern
District of Louisiana to authorize (i) the sale of coin collection
to First Fidelity Reserve for $2,503,958; (ii) the sale of MidSouth
Bancorp stock via the New York Stock Exchange; and (iii) the use of
Mississippi River Bank's cash collateral.
Prior to the filing of the bankruptcy petition, the Debtor was the
owner of LPL Financial Brokerage Account No. 2721-0025 as well as a
U.S. Coin Collection consisting of various valuable gold coins. In
addition, it owned the real estate and improvements located at 406
W 3rd Street, Thibodaux, Louisiana.
Mississippi River Bank filed a Proof of Claim on May 31, 2017 in
the amount of $2,684,194. Mississippi River Bank's claim is
allegedly secured by the Brokerage Account, the Coin Collection,
and a mortgage on the Immovable Property. It asserts that the
total value of its collateral is $6,759,000. Therefore,
Mississippi River Bank is substantially over-secured.
On Aug. 4, 2017, Mississippi River Bank filed a Motion for Relief
from the Automatic Stay [P-95] asking relief from the automatic
stay to exercise its lien rights with respect to the Brokerage
Account. The Debtor is unaware of any Interests in the Coin
Collection, except the security interest of Mississippi River
Bank.
The value of the Brokerage Account, as of July 31, 2017, was
$596,000. According to Mike Fuljenz, a consultant with First
Fidelity Reserve, the Coin Collection is valued at $2,503,958, if
the Coin Collection is sold over a period of 14 months. The
Immovable Property is currently being rented at a rate of
$4,457/month.
First Fidelity Reserve has proposed a systematic liquidation of the
Coin Collection over a 14-month period in five separate lots in
which it will pay $2,503,958 to the Debtor's Bankruptcy Estate.
The Debtor asks authority to accept this offer in order to recover
the full value of the Coin Collection and believes it is in the
best interest of the bankruptcy estate. The proposed sale of the
Coin Collection represents the highest offer received by the Debtor
for the Coin Collection. The only connection between the Debtor
and First Fidelity Reserve is that the Debtor purchased the coins
from First Fidelity Reserve.
A copy of the Motion, along with the list of assets to be sold, is
available for free at:
http://bankrupt.com/misc/Ernest_Vicknair_102_Sales.pdf
The Debtor believes, in his business judgment, this sale is in the
best interest of the estate because it will allow the estate to
recover the full value of the Coin Collection, thereby permitting
the Debtor to pay creditors, including, Mississippi River Bank,
which is clearly in the best interest of the creditors.
If the Coin Collection is sold in bulk, instead of over time,
approximately $2,276,325 would be received. The Debtor believes
that it is in the best interest of the estate and the unsecured
creditors to receive the full value of the Coin Collection, so that
other collateral held by Mississippi River Bank can be freed to pay
unsecured creditors.
The Debtor proposes to sell the MidSouth Bancorp stock in the
Brokerage Account which is valued at approximately $112,500 as of
July 31, 2017. If authorized, it will sell the MidSouth Bancorp
stock via the New York Stock Exchange within 14 days of the Order
authorizing the sale. The Debtor is unaware of any Interests in
the MidSouth Bancorp stock, except the security interest of
Mississippi River Bank.
The Debtor asks authority to use 25% of the cash proceeds from the
sale of the MidSouth Bancorp stock and Coin Collection to pay
applicable taxes, administrative expenses, expenses related to
confirming a plan of reorganization and effective date payments,
and manage the estate. It proposes to pay to Mississippi River
Bank the remaining 75% of the cash collateral received from the
sale of the MidSouth Bancorp stock and Coin Collection. Likewise,
it proposes to use the rent proceeds from the Immovable Property to
pay expenses related to the Immovable Property, administrative
expenses, and manage the estate.
Further, there is approximately $15,000 in cash in the Brokerage
Account. The Debtor asks authority to pay 75% of the cash in the
Brokerage Account to Mississippi River Bank and use 25% of the cash
to pay administrative expenses and manage the estate.
Ernest A. Vicknair, Jr., sought Chapter 11 protection (Bankr. E.D.
La. Case No. 17-11059) on April 27, 2017. The Debtor tapped Eric
J. Derbes, Esq., at The Derbes Law Firm, LLC, as counsel.
FLAGSTAR MORTGAGE 2017-1: Fitch Assigns B Rating to Cl. B-5 Certs.
------------------------------------------------------------------
Fitch Ratings has assigned the following ratings to Flagstar
Mortgage Trust 2017-1 (FSMT 2017-1):
-- $365,858,000 class 1-A-1 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $365,858,000 class 1-A-2 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $343,419,000 class 1-A-3 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $343,419,000 class 1-A-4 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $257,564,000 class 1-A-5 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $257,564,000class 1-A-6 certificates 'AAAsf'; Outlook Stable;
-- $85,855,000 class 1-A-7 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $85,855,000 class 1-A-8 certificates 'AAAsf'; Outlook Stable;
-- $22,439,000 class 1-A-9 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $22,439,000 class 1-A-10 certificates 'AAAsf'; Outlook Stable;
-- $365,858,000 class 1-A-X-1 notional certificates 'AAAsf';
Outlook Stable;
-- $365,858,000 class 1-A-X-2 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $343,419,000 class 1-A-X-3 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $257,564,000 class 1-A-X-4 notional certificates 'AAAsf';
Outlook Stable;
-- $85,855,000 class 1-A-X-5 notional certificates 'AAAsf';
Outlook Stable;
-- $22,439,000 class 1-A-X-6 notional certificates 'AAAsf';
Outlook Stable;
-- $50,195,000 class 2-A-1 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $47,116,000 class 2-A-2 certificates 'AAAsf'; Outlook Stable;
-- $3,079,000 class 2-A-3 certificates 'AAAsf'; Outlook Stable;
-- $50,195,000 class 2-A-X-1 notional certificates 'AAAsf';
Outlook Stable;
-- $9,098,000 class B-1 certificates 'AAsf'; Outlook Stable;
-- $7,766,000 class B-2 certificates 'Asf'; Outlook Stable;
-- $5,326,000 class B-3 certificates 'BBBsf'; Outlook Stable;
-- $2,441,000 class B-4 certificates 'BBsf'; Outlook Stable;
-- $1,109,000 class B-5 certificates 'Bsf'; Outlook Stable.
The following class will not be rated by Fitch:
-- $1,997,711 class B-6-C certificates.
The notes are supported by two cross collateralized groups that
consists of 668 jumbo prime and high-balance conforming, fixed-rate
mortgages (FRMs) originated by Flagstar Bank, FSB with a total
balance of approximately $443.8 million as of the cut-off date.
The 'AAAsf' rating on the class A notes reflects the 6.25%
subordination provided by the 2.05% class B-1, 1.75% class B-2,
1.20% class B-3, 0.55% class B-4, 0.25% class B-5 and 0.45% class
B-6-C notes.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The collateral pool consists
of high-quality 30-year and 15-year, fully amortizing high balance
conforming and jumbo fixed-rate Safe Harbor Qualified Mortgage
(SHQM) loans to borrowers with strong credit profiles and low
leverage. The pool has a weighted average (WA) FICO score of 771
and an original combined loan-to-value (CLTV) ratio of 63.5%. The
collateral attributes of the pool are generally consistent with
recent prime transactions.
Tier 3 Representation and Warranty Framework (Concern): Fitch
believes the value of the representation and warranty (R&W)
framework is diluted by the presence of qualifying and conditional
language in conjunction with a prescriptive testing construct,
which reduces lender breach liability. While Fitch believes the
high-credit-quality pool and clean diligence results mitigate these
risks, the weaker framework was considered in the analysis. As a
result of the Tier 3 representation, warranty and enforcement
(RW&E) framework and financial condition of the R&W provider, the
pool received an 84 basis points (bps) probability of default (PD)
adjustment at the 'AAAsf' level.
'Average' Originator (Neutral): Based on its review of Flagstar's
origination platform, Fitch believes the bank has adequate
processes and procedures in place, and views Flagstar's ability to
originate and acquire prime loans as 'average.' Approximately 7% of
the pool was originated through Flagstar's retail channel, while
the remaining loans were originated through brokers (27.1%) and
correspondents (66.1%). Fitch believes that Flagstar has robust
risk management in place to mitigate any increased risk of loans
originated through non-retail channels. In addition, all broker
loans and a majority of correspondent loans are non-delegated and
underwritten by Flagstar.
High Geographic Concentration (Concern): The pool's primary
concentration is in California, representing approximately 60% of
the pool. Approximately 47.5% of the pool is located in the top
three metropolitan statistical areas (MSAs) (Los Angeles, San
Francisco and San Jose), with 27.5% located in Los Angeles. Given
the pool's high regional concentration, an additional penalty of
approximately 8% was applied to the pool's lifetime default
expectations.
Strong Due Diligence Results (Positive): A loan-level due diligence
review was conducted on 100% of the pool in accordance with Fitch's
criteria, and focused on credit, compliance and property valuation.
All the reviewed loans received a grade of 'A' or 'B', indicating
strong underwriting practices and sound quality control procedures.
The majority of the 'B' graded loans were due to nonmaterial
compliance issues related to TILA-RESPA Integrated Disclosure
(TRID) findings, which have all been corrected or
cleared/canceled.
Straightforward Deal Structure (Positive): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.
To mitigate tail risk, which arises as the pool seasons and fewer
loans are outstanding, a subordination floor of 1.00% of the
original balance will be maintained for the senior certificates and
0.70% for the subordinate certificates.
Leakage from Reviewer Expenses (Concern): The trust is obligated to
reimburse the breach reviewer, Inglet Blair, LLC (Inglet Blair),
each month for any reasonable out-of-pocket expenses incurred if
the company is requested to participate in any arbitration, legal
or regulatory actions, proceedings or hearings. These expenses
include Inglet Blair's legal fees and other expenses incurred
outside its reviewer fee and are not subject to a cap or
certificateholder approval.
While Fitch accounted for the potential additional costs by
upwardly adjusting its loss estimation for the pool, Fitch views
this construct as adding potentially more ratings volatility than
those that do not have this type of provision.
Extraordinary Expense Adjustment (Concern): Extraordinary expenses,
which include loan file review costs, arbitration expenses for
enforcement of the reps and additional fees of the breach reviewer,
will be taken out of available funds and not accounted for in the
contractual interest owed to the bondholders. This construct can
result in principal and interest shortfalls to the bonds, starting
from the bottom of the capital structure. To account for the risk
of these noncredit events reducing subordination, Fitch adjusted
its loss expectations upward by 35 bps at the 'AAAsf' level.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.
Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10%, 20%, and 30%, in addition to the
model-projected 6.1%. The analysis indicates there is some
potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
GS MORTGAGE 2017-GS7: Fitch to Rate Class H-RR Certs 'B-sf'
-----------------------------------------------------------
Fitch Ratings has issued a presale report on GS Mortgage Securities
Trust 2017-GS7 commercial mortgage pass-through certificates and
expects to rate the transaction and assign Rating Outlooks:
-- $18,155,000 class A-1 'AAAsf'; Outlook Stable;
-- $56,176,000 class A-2 'AAAsf'; Outlook Stable;
-- $315,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $340,612,000 class A-4 'AAAsf'; Outlook Stable;
-- $27,207,000 class A-AB 'AAAsf'; Outlook Stable;
-- $831,513,000b class X-A 'AAAsf'; Outlook Stable;
-- $98,700,000b class X-B 'A-sf'; Outlook Stable;
-- $74,363,000 class A-S 'AAAsf'; Outlook Stable;
-- $47,322,000 class B 'AA-sf'; Outlook Stable;
-- $51,378,000 class C 'A-sf'; Outlook Stable;
-- $20,281,000a class D 'BBB+sf'; Outlook Stable;
-- $37,133,000ab class X-D 'BBB-sf'; Outlook Stable;
-- $16,852,000a class E 'BBB-sf'; Outlook Stable;
-- $21,005,000ac class F-RR 'BBB-sf'; Outlook Stable;
-- $27,042,000ac class G-RR 'BB-sf'; Outlook Stable;
-- $12,168,000ac class H-RR 'B-sf'; Outlook Stable.
The following classes are not expected to be rated:
-- $54,082,734ac class J-RR.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest only.
(c) Horizontal credit risk retention interest representing 5.0% of
the pool balance (as of the closing date).
The expected ratings are based on information provided by the
issuer as of Aug. 7, 2017.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 32 loans secured by 35
commercial properties having an aggregate principal balance of
$1,081,643,735 as of the cut-off date. The loans were contributed
to the trust by Goldman Sachs Mortgage Company.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 82.5% of the properties
by balance, cash flow analysis of 88.7%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage than Recent Transactions. The pool's leverage
is slightly greater than that of recent, comparable Fitch-rated
multiborrower transactions. The pool's Fitch DSCR and LTV are 1.21x
and 103.8%, respectively, which reflect slightly worse leverage
statistics compared to the YTD 2017 averages of 1.25x and 101.9%.
Excluding credit opinion loans, the pool has a Fitch DSCR and LTV
of 1.18x and 111.2%, respectively, compared with the YTD 2017
normalized averages of 1.20x and 106.5%.
Investment-Grade Credit Opinion Loans: Two loans, 1999 Avenue of
the Stars (12.7% of pool) and Olympic Tower (3.7% of pool), have
investment-grade credit opinions. The pool's credit opinion loan
concentration of 16.4% is greater than the YTD 2017 and the 2016
averages of 9.63% and 8.36%, respectively. Net of the credit
opinion loans, Fitch's DSCR and LTV are 1.18x and 111.2%,
respectively.
Highly Concentrated Pool: The pool is more concentrated than that
of the other, recent Fitch-rated multiborrower transactions.
Specifically, the pool has 32 loans, compared with the YTD 2017 and
the 2016 averages of 50 loans. Moreover, the largest 10 loans
compose 64.3% of the pool, which is greater than the respective YTD
2017 and 2016 averages of 53.5% and 54.8% for other Fitch-rated
multiborrower deals. This results in a loan concentration index
(LCI) score of 555, which is higher than the respective YTD 2017
and 2016 averages of 401 and 422. The largest loan in the pool is
1999 Avenue of the Stars at 12.7% of the pool.}
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 11.6% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the GSMS
2017-GS7 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'Asf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf'
could result.
JP MORGAN 2003-CIBC6: Moody's Hikes Rating on Class K Certs to Ba3
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and upgraded the ratings on three classes in J.P. Morgan Chase
Commercial Mortgage Securities Corp, Series 2003-CIBC6 as follows:
Cl. H, Upgraded to Aaa (sf); previously on Jan 20, 2017 Upgraded to
A3 (sf)
Cl. J, Upgraded to A2 (sf); previously on Jan 20, 2017 Upgraded to
Baa3 (sf)
Cl. K, Upgraded to Ba3 (sf); previously on Jan 20, 2017 Affirmed B2
(sf)
Cl. L, Affirmed Caa3 (sf); previously on Jan 20, 2017 Affirmed Caa3
(sf)
Cl. M, Affirmed C (sf); previously on Jan 20, 2017 Affirmed C (sf)
Cl. X-1, Affirmed Ca (sf); previously on Jun 9, 2017 Downgraded to
Ca (sf)
RATINGS RATIONALE
The ratings on the P&I classes H, J, and K were upgraded based
primarily on an increase in credit support resulting from loan
paydowns and amortization. The deal has paid down 35% since Moody's
last review. In addition, due to a significant increase in
defeasance, to 61% of the current pool balance from 42% at the last
review.
The ratings on the P&I classes L & M were affirmed because the
ratings are consistent with Moody's expected loss plus realized
losses.
The rating on the IO class X-1 was affirmed based on the credit
quality of the referenced classes.
Moody's rating action reflects a base expected loss of 1.5% of the
current pooled balance, compared to 6.7% at Moody's last review.
Moody's base expected loss plus realized losses is now 2.1% of the
original pooled balance, compared to 2.4% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Additionally, the methodology used in rating Cl. X-1 was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the July 12, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $32 million
from $1.04 billion at securitization. The certificates are
collateralized by 11 mortgage loans ranging in size from less than
1% to 37% of the pool. Five loans, constituting 61% of the pool,
have defeased and are secured by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of three, compared to six at Moody's last review.
Four loans, constituting 17% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Eleven loans have been liquidated from the pool, resulting in an
aggregate realized loss of $21 million (for an average loss
severity of 42%). There are no loans currently in special
servicing.
Moody's received full year 2016 operating results for 100% of the
pool, and full or partial year 2017 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 85%, compared to 80% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans.
Moody's actual and stressed conduit DSCRs are 2.08X and 1.75X,
respectively, compared to 1.56X and 1.84X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 34% of the pool balance. The
largest loan is the Old Orchard Village East Shopping Center Loan
($5.9 million -- 18% of the pool), which is secured by a
grocery-anchored shopping center located in Louisville, TX. The
property which was previously anchored by a Hobby Lobby, is now
anchored by a Winco Foods whose lease extends through May 2040. The
property was 85% occupied as of March 2017, the same as at Moody's
last review. Moody's LTV and stressed DSCR are 92% and 1.29X,
respectively, compared to 119% and 1.00X at the last review.
The second largest loan is the Essex Center Loan ($3.0 million --
9% of the pool), which is secured by a 54,000 SF office building
located in Southfield, MI. The loan transferred to special
servicing in December 2011 and was modified during 2013, returning
to the master servicer in May 2014. As of March 2017, the property
was 95% leased. Moody's LTV and stressed DSCR are 132% and 0.78X,
respectively, compared to 173% and 0.59X at the last review.
The third largest loan is the 4 East 70th Street Loan ($2.0 million
-- 6% of the pool), which is secured by a 32-unit multifamily co-op
property located between Madison and Fifth Avenues on Manhattan's
Upper East Side. Moody's LTV and stressed DSCR are 31% and 2.94X,
respectively, the same as at Moody's last review.
JP MORGAN 2004-LN2: S&P Cuts Class B Certs Rating to CCC-(sf)
-------------------------------------------------------------
S&P Global Ratings lowered its ratings on two classes of commercial
mortgage pass-through certificates from JPMorgan Chase Commercial
Mortgage Securities Corp 2004-LN2, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its ratings on three other classes from the same
transaction.
S&P said, "Our rating actions on the principal- and interest-paying
certificates follow our analysis of the transaction, primarily
using our criteria for rating U.S. and Canadian CMBS transactions,
which included a review of the credit characteristics and
performance of the remaining assets in the pool, the transaction's
structure, and the liquidity available to the trust.
"We lowered our rating on class B due to interest shortfalls. We
will continue to monitor these interest shortfalls as well as the
resolution outcomes on the specially serviced assets. If the
ultimate recovery to the trust is less than our estimate,
additional rating actions may be taken on the class. In addition,
we lowered our rating on class C to 'D (sf)' because we expect the
accumulated interest shortfalls to remain outstanding for the
foreseeable future. In addition, we expect this class to experience
a principal loss based on the ultimate resolutions of the specially
serviced loans ($75.7 million, 56.0%) in the transaction."
According to the July 17, 2017, trustee remittance report, current
monthly interest shortfalls total $276,341 and have resulted
primarily from appraisal subordinate entitlement reduction amounts
totaling $227,465, interest not advanced totaling $32,715, and
special servicing fees totaling $15,805.
The current interest shortfalls affected classes subordinate to and
including class B.
S&P said, "The affirmations on the principal- and interest-paying
certificates reflect our expectation that the available credit
enhancement for these classes will be within our estimate of the
necessary credit enhancement required for the current ratings.
"We affirmed our 'AAA (sf)' ratings on the class X1 interest-only
(IO) certificates based on our criteria for rating IO securities."
TRANSACTION SUMMARY
As of the July 17, 2017, trustee remittance report, the collateral
pool balance was $135.1 million, which is 11.0% of the pool balance
at issuance. The pool currently includes 18 loans and three real
estate owned (REO) assets, down from 177 loans at issuance. Three
of these assets are with the special servicer, five ($16.2 million,
12.0%) are defeased, and two ($11.9 million, 8.8%) are on the
master servicer's watchlist. The master servicer, Berkadia
Commercial Mortgage LLC reported financial information for 36.3% of
the nondefeased loans in the pool, all of which was partial or
year-end 2016 data.
S&P said, "We calculated a 1.48x S&P Global Ratings weighted
average debt service coverage (DSC) and 57.4% S&P Global Ratings
weighted average loan-to-value (LTV) ratio using a 7.71% S&P Global
Ratings weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the three specially
serviced assets and five defeased loans. The top 10 nondefeased
assets have an aggregate outstanding pool trust balance of $112.0
million (82.9%). Using adjusted servicer-reported numbers, we
calculated an S&P Global Ratings weighted average DSC and LTV of
1.49x and 60.0%, respectively, for seven of the top 10 nondefeased
assets. The remaining assets are specially serviced and discussed
below.
"To date, the transaction has experienced $68.4 million in
principal losses, or 5.6% of the original pool trust balance. We
expect losses to reach approximately 10.7% of the original pool
trust balance in the near term, based on losses incurred to date
and additional losses we expect upon the eventual resolution of the
three specially serviced assets."
CREDIT CONSIDERATIONS
As of the July 17, 2017, trustee remittance report, three assets in
the pool were with the special servicer, Torchlight Loan Services
LLC. Details of the two largest specially serviced assets, both of
which are top 10 nondefeased assets, are as follows:
Chesapeake Square REO asset ($60.2 million, 44.6%) is the largest
asset in the pool and has a total reported exposure of $67.6
million. The asset is a 530,158-sq.-ft. retail mall located in
Chesapeake, Va. The loan was transferred to the special servicer on
July 21, 2015, due to imminent default and the property became REO
on April 21, 2016. Based on recent servicer comments, JLL has been
engaged to lease and manage the center while the special servicer
stabilizes the property. According to media reports, both Macy's
and Sears have vacated the property. Other anchors include JCPenney
and Burlington Coat Factory. An appraisal reduction amount (ARA) of
$39.1 million is in effect against this asset. S&P expects a
significant loss (60% or greater) upon its eventual resolution.
Twin Cities Industrial Portfolio - Pool 1 REO asset ($7.9 million,
5.9%) is the fourth-largest asset in the pool and has a total
reported exposure of $10.0 million. The asset currently includes
three industrial properties (down from six at the time of
securitization) totaling to 110,676 sq. ft. located in
Burnsville, Minn. The loan was transferred to the special servicer
on July 18, 2011, and the property became REO on Jan. 22, 2016. Per
the special servicer, CBRE will continue to manage and lease the
properties as agreements are being transferred from receivership to
trust ownership. An ARA of $6.2 million is in effect against this
asset. S&P expects a significant loss upon its eventual
resolution.
The remaining asset with the special servicer has an individual
balance that represents less than 2.0% of the total pool trust
balance. S&P estimated losses for the three specially serviced
assets, arriving at a weighted-average loss severity of 84.1%.
RATINGS LIST
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2004-LN2
Rating Rating
Class Identifier To From
A-2 46625YCV3 AAA (sf) AAA (sf)
A-1A 46625YBN2 AAA (sf) AAA (sf)
B 46625YCW1 CCC- (sf) A (sf)
C 46625YCX9 D (sf) B+ (sf)
X-1 46625YBL6 AAA (sf) AAA (sf)
JP MORGAN 2017-3: Fitch to Rates Class B-5 Certificates 'Bsf'
-------------------------------------------------------------
Fitch Ratings expects to rate J.P. Morgan Mortgage Trust 2017-3:
-- $862,387,000 class 1-A-1 exchangeable certificates 'AA+sf';
Outlook Stable;
-- $862,387,000 class 1-A-2 exchangeable certificates 'AA+sf';
Outlook Stable;
-- $807,341,000 class 1-A-3 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $807,341,000 class 1-A-4 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $605,506,000 class 1-A-5 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $605,506,000 class 1-A-6 certificates 'AAAsf'; Outlook Stable;
-- $201,835,000 class 1-A-7 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $201,835,000 class 1-A-8 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $158,043,000 class 1-A-9 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $158,043,000 class 1-A-10 certificates 'AAAsf'; Outlook
Stable;
-- $43,792,000 class 1-A-11 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $43,792,000 class 1-A-12 certificates 'AAAsf'; Outlook Stable;
-- $55,046,000 class 1-A-13 exchangeable certificates 'AA+sf';
Outlook Stable;
-- $55,046,000 class 1-A-14 certificates 'AA+sf'; Outlook Stable;
-- $862,387,000 class 1-AX-1 notional certificates 'AA+sf';
Outlook Stable;
-- $862,387,000 class 1-AX-2 notional exchangeable certificates
'AA+sf'; Outlook Stable;
-- $807,341,000 class 1-AX-3 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $605,506,000 class 1-AX-4 notional certificates 'AAAsf';
Outlook Stable;
-- $201,835,000 class 1-AX-5 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $158,043,000 class 1-AX-6 notional certificates 'AAAsf';
Outlook Stable;
-- $43,792,000 class 1-AX-7 notional certificates 'AAAsf';
Outlook Stable;
-- $55,046,000 class 1-AX-8 notional certificates 'AA+sf';
Outlook Stable;
-- $93,689,000 class 2-A-1 exchangeable certificates 'AA+sf';
Outlook Stable;
-- $87,708,000 class 2-A-2 certificates 'AAAsf'; Outlook Stable;
-- $5,981,000 class 2-A-3 certificates 'AA+sf'; Outlook Stable;
-- $93,689,000 class 2-A-4 exchangeable certificates 'AA+sf';
Outlook Stable;
-- $87,708,000 class 2-A-5 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $5,981,000 class 2-A-6 exchangeable certificates 'AA+sf';
Outlook Stable;
-- $93,689,000 class 2-AX-1 notional exchangeable certificates
'AA+sf'; Outlook Stable;
-- $87,708,000 class 2-AX-2 notional certificates 'AAAsf';
Outlook Stable;
-- $5,981,000 class 2-AX-3 notional certificates 'AA+sf'; Outlook
Stable;
-- $14,239,000 class B-1 certificates 'AA-sf'; Outlook Stable;
-- $16,274,000 class B-2 certificates 'A-sf'; Outlook Stable;
-- $11,697,000 class B-3 certificates 'BBBsf'; Outlook Stable;
-- $8,645,000 class B-4 certificates 'BBsf'; Outlook Stable;
-- $5,594,000 class B-5 certificates 'Bsf'; Outlook Stable.
Fitch will not be rating the following certificates:
-- $4,577,512 class B-6 certificates;
-- $537,634,873 class A-IO-S certificates.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The collateral pool consists
of high-quality 30-year and 15-year, fully amortizing conforming
and non-conforming fixed-rate loans to borrowers with strong credit
profiles and low leverage. The pool has a weighted average (WA)
FICO score of 765 and an original combined loan-to-value (CLTV)
ratio of 70.7%. The collateral attributes of the pool are generally
consistent with recent JPMMT transactions.
Majority of Expenses Deducted from Net WAC (Neutral): Unlike prior
JPMMT transactions, the majority of extraordinary trust expenses
(ETEs) are scheduled to reduce the net weighted average available
coupon (WAC). ETEs include arbitration expenses for enforcement of
the representations and warranties, additional fees and expenses of
the breach reviewer, Pentalpha Surveillance LLC (Pentalpha), as
well as amounts reimbursable to the securities administrator,
master servicer, custodian and trustee. Expenses coming out of the
net WAC are subject to an annual cap of $550,000 ($200,000 for the
trustee, $150,000 for Wells Fargo Bank, N.A. and $200,000 for the
breach reviewer), which is higher compared to recent prime
transactions.
Leakage from Reviewer Expenses (Concern): The trust is obligated to
reimburse Pentalpha each month for any reasonable out-of-pocket
expenses incurred if the company is requested to participate in any
arbitration, legal or regulatory actions, proceedings or hearings.
If Pentalpha's expenses exceed the annual cap of $200,000,
Pentalpha is able to be reimbursed up to an additional $100,000 per
year from the pool's available funds. This construct can result in
principal and interest shortfalls to the bonds, starting from the
bottom of the capital structure. To account for the risk of these
noncredit events reducing subordination, Fitch adjusted its loss
expectations upward by 11 basis points (bps) at the 'AAAsf' level.
Tier 3 Representation and Warranty Framework (Concern): Fitch
believes the value of the rep and warranty framework is diluted by
the presence of qualifying and conditional language in conjunction
with sunset provisions, which reduces lender breach liability.
While Fitch believes the high credit-quality pool and clean
diligence results mitigate these risks, Fitch considered the weaker
framework in Fitch analysis.
Strong Due Diligence Results (Positive): Loan-level due diligence
was performed on 100% of the loans. The full diligence sample size
for the agency loans is an improvement over the previous
transaction that Fitch rated, JPMMT 2017-1, in which only a sample
of the conforming loans were reviewed. Nearly all the reviewed
loans received a third-party 'A' or 'B' grade, indicating strong
underwriting practices and sound quality control procedures.
Geographic Concentration (Concern): The pool's primary
concentration is in California, representing approximately 49% of
the pool, with the San Francisco and Los Angeles metropolitan
statistical areas (MSAs) representing approximately 19% and 16% of
the pool, respectively. The increased geographic distribution
resulted in a minor probability of default (PD) penalty of 3%,
which is in line with what Fitch has observed in previous JPMMT
deals.
Straightforward Deal Structure (Positive): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.
To mitigate tail risk, which arises as the pool seasons and fewer
loans are outstanding, a subordination floor of 0.65% of the
original balance will be maintained for the senior certificates.
RATING SENSITIVITIES
Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction.
Three sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper market value declines at the
national level. The analysis assumes market value declines of 10%,
20% and 30%, in addition to the model-projected 5.5%. The analysis
indicates that there is some potential rating migration with higher
MVDs, compared with the model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
JP MORGAN 2017-3: Moody's Assigns (P)B2 Rating to Class B-5 Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 36
classes of residential mortgage-backed securities (RMBS) issued by
J.P. Morgan Mortgage Trust 2017-3. The ratings range from (P)Aaa
(sf) to (P)B2 (sf).
The certificates are backed by two pools of prime quality 30-year
and 15-year, fully-amortizing fixed rate mortgage loans with a
total balance of $1,017,102,512 as of August 1, 2017 cut-off date.
The first pool consists of primarily 30-year mortgages (Group 1)
and the second pool consists of 15-year mortgages (Group 2).
Similar to prior JPMMT transactions, JPMMT 2017-3 includes
conforming fixed-rate mortgage loans originated by JPMorgan Chase
Bank, N. A. (Chase) and underwritten to the government sponsored
enterprises (GSE) guidelines in addition to prime jumbo
non-conforming mortgages purchased by JPMMAC from various
originators and aggregators. JPMorgan Chase Bank, N.A. will be the
servicer on the conforming loans, while Shellpoint Mortgage
Servicing, Everbank, Bank of Oklahoma, PHH Mortgage Corporation,
Guaranteed Rate Inc., Johnson Bank and First Republic Bank will be
the servicers on the prime jumbo loans. Wells Fargo Bank, N.A. will
be the master servicer and securities administrator. U.S. Bank
Trust National Association will be the trustee. Pentalpha
Surveillance LLC will be the representations and warranties breach
reviewer. Distributions of principal and interest and loss
allocations are based on a typical shifting-interest structure that
benefits from cross-collateralization and a senior and
subordination floor.
The complete rating actions are:
Issuer: J.P. Morgan Mortgage Trust 2017-3
Cl. 1-A-1, Assigned (P)Aaa (sf)
Cl. 1-A-2, Assigned (P)Aaa (sf)
Cl. 1-A-3, Assigned (P)Aaa (sf)
Cl. 1-A-4, Assigned (P)Aaa (sf)
Cl. 1-A-5, Assigned (P)Aaa (sf)
Cl. 1-A-6, Assigned (P)Aaa (sf)
Cl. 1-A-7, Assigned (P)Aaa (sf)
Cl. 1-A-8, Assigned (P)Aaa (sf)
Cl. 1-A-9, Assigned (P)Aaa (sf)
Cl. 1-A-10, Assigned (P)Aaa (sf)
Cl. 1-A-11, Assigned (P)Aaa (sf)
Cl. 1-A-12, Assigned (P)Aaa (sf)
Cl. 1-A-13, Assigned (P)Aa2 (sf)
Cl. 1-A-14, Assigned (P)Aa2 (sf)
Cl. 1-AX-1, Assigned (P)Aa1 (sf)
Cl. 1-AX-2, Assigned (P)Aa1 (sf)
Cl. 1-AX-3, Assigned (P)Aaa (sf)
Cl. 1-AX-4, Assigned (P)Aaa (sf)
Cl. 1-AX-5, Assigned (P)Aaa (sf)
Cl. 1-AX-6, Assigned (P)Aaa (sf)
Cl. 1-AX-7, Assigned (P)Aaa (sf)
Cl. 1-AX-8, Assigned (P)Aa2 (sf)
Cl. 2-A-1, Assigned (P)Aaa (sf)
Cl. 2-A-2, Assigned (P)Aaa (sf)
Cl. 2-A-3, Assigned (P)Aa1 (sf)
Cl. 2-A-4, Assigned (P)Aaa (sf)
Cl. 2-A-5, Assigned (P)Aaa (sf)
Cl. 2-A-6, Assigned (P)Aa1 (sf)
Cl. 2-AX-1, Assigned (P)Aa1 (sf)
Cl. 2-AX-2, Assigned (P)Aaa (sf)
Cl. 2-AX-3, Assigned (P)Aa1 (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A2 (sf)
Cl. B-3, Assigned (P)Baa2 (sf)
Cl. B-4, Assigned (P)Ba1 (sf)
Cl. B-5, Assigned (P)B2 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Expected cumulative net losses on Group 1 are 0.45% and reach 5.40%
at a stress level consistent with Aaa ratings.
Expected cumulative net losses for Group 2 are 0.20% and reach
1.55% at a stress level consistent with Aaa ratings.
"Moody's calculated losses on the pool using Moody's US Moody's
Individual Loan Analysis (MILAN) model based on the loan-level
collateral information as of the cut-off date. Loan-level
adjustments to the model results included adjustments to
probability of default for higher and lower borrower debt-to-income
ratios (DTIs), for borrowers with multiple mortgaged properties,
self-employed borrowers, and for the default risk of Homeownership
association (HOA) properties in super lien states. Moody's final
loss estimates also incorporate adjustments for originator
assessments and the financial strength of Representation & Warranty
(R&W) providers," Moody's says.
"Base Moody's provisional ratings on the certificates on the credit
quality of the mortgage loans, the structural features of the
transaction, Moody's assessments of the aggregators, originators
and servicers, the strength of the third party due diligence and
the representations and warranties (R&W) framework of the
transaction."
Collateral Description
JPMMT 2017-3 is a securitization of a pool of 1,483 primarily
30-year and 15-year, fully-amortizing mortgage loans with a total
balance of $1,017,102,512 as of the cut-off date, with a weighted
average (WA) remaining term to maturity of 337 months, and a WA
seasoning of 6 months. The borrowers in this transaction have high
FICO scores and sizeable equity in their properties. The WA current
FICO score is 770 and the WA original combined loan-to-value ratio
(CLTV) is 70.7%. The characteristics of the loans underlying the
pool are generally comparable to other JPMMT transactions backed by
30-year and 15-year fixed mortgage loans that Moody's has rated.
In this transaction, 22.9% of the pool by loan balance was
underwritten by Chase to Fannie Mae's and Freddie Mac's guidelines
(conforming loans). Moreover, the conforming loans in this
transaction have a high average current loan balance at $532,687.
The higher conforming loan balance of loans in JPMMT 2017-3 is
attributable to the greater amount of properties located in
high-cost areas, such as the metro areas of New York City and San
Francisco. Everbank contributes approximately 13.4% of the mortgage
loans in the pool. The remaining originators each account for less
than 10% of the principal balance of the loans in the pool and
provide R&W to the transaction.
Third-party Review and Reps & Warranties
Four third party review (TPR) firms verified the accuracy of the
loan-level information that the sponsor gave us. These firms
conducted detailed credit, collateral, and regulatory reviews on
100% of the mortgage pool. The TPR results indicated compliance
with the originators' underwriting guidelines for the vast majority
of loans, no material compliance issues, and no appraisal defects.
The loans that had exceptions to the originators' underwriting
guidelines had strong documented compensating factors such as low
DTIs, low LTVs, high reserves, high FICOs, or clean payment
histories. The TPR firms also identified minor compliance
exceptions for reasons such as inadequate RESPA disclosures (which
do not have assignee liability) and TILA/RESPA Integrated
Disclosure (TRID) violations related to fees that were out of
variance but then cured and disclosed. Moody's did not make any
adjustments to Moody's expected or Aaa loss levels due to the TPR
results.
JPMMT 2017-3's R&W framework is in line with other JPMMT
transactions where an independent reviewer is named at closing, and
costs and manner of review are clearly outlined at issuance.
Moody's reviews of the R&W framework takes into account the
financial strength of the R&W providers, scope of R&Ws (including
qualifiers and sunsets) and enforcement mechanisms.
The R&W providers vary in financial strength. JPMorgan Chase Bank,
N.A. (rated Aa2), who is the R&W provider for approximately 22.9%
(by loan balance) of the loans, is the strongest R&W provider.
Moody's has made no adjustments on the Chase loans in the pool, as
well as loans originated by Everbank, PHH Mortgage Corporation,
First Republic Bank and Homestreet Bank. In contrast, the rest of
the R&W providers are unrated and/or financially weaker entities.
Moreover, JPMMAC will not backstop any R&W providers who may become
financially incapable of repurchasing mortgage loans. Moody's made
an adjustment for these loans in Moody's analysis to account for
this risk.
For loans that JPMMAC acquired via the MAXEX platform, Central
Clearing and Settlement LLC, (CCS) MAXEX's subsidiary and seller
under the assignment, assumption and recognition agreement with
JPMMAC, will make the R&Ws. The R&Ws provided by CCS to JPMMAC and
assigned to the trust are in line with the R&Ws found in the JPMMT
transactions. MAXEX backstops all validated R&W violations through
a combination of enforcement and insolvency guarantees.
Trustee and Master Servicer
The transaction trustee is U.S. Bank Trust National Association.
The custodians functions will be performed by Wells Fargo Bank,
N.A. and JPMorgan Chase Bank, N.A. The paying agent and cash
management functions will be performed by Wells Fargo Bank, N.A.,
rather than the trustee. In addition, Wells Fargo, as Master
Servicer, is responsible for servicer oversight, and termination of
servicers and for the appointment of successor servicers. In
addition, Wells Fargo is committed to act as successor if no other
successor servicer can be found. Moody's assess Wells Fargo as an
SQ1 (strong) master servicer of residential loans.
Tail Risk & Subordination Floor
This deal has a standard shifting-interest structure, with a
subordination floor to protect against losses that occur late in
the life of the pool when relatively few loans remain (tail risk).
When the total senior subordination is less than 0.65% of the
original pool balance ($6,611,166), the subordinate bonds do not
receive any principal and all principal is then paid to the senior
bonds. In addition, if the subordinate percentage drops below 6.00%
of current pool balance, the senior distribution amount will
include all principal collections and the subordinate principal
distribution amount will be zero. The subordinate bonds themselves
benefit from a floor. When the total current balance of a given
subordinate tranche plus the aggregate balance of the subordinate
tranches that are junior to it amount to less than 0.50% of the
original pool balance ($5,085,513), those tranches do not receive
principal distributions. Principal those tranches would have
received are directed to pay more senior subordinate bonds
pro-rata.
Transaction Structure
The transaction is structured as a two-pool 'Y' structure in which
the senior bonds benefit from a number of protections. Funds
collected, including principal, are first used to make interest
payments to the senior bonds in each group. Next, principal
payments are made to the senior bonds in each group based on the
principal collections for the underlying assets in each group.
Next, available distribution amounts are used to reimburse realized
losses and certificate writedown amounts for the senior bonds
(after subordinate bond have been reduced to zero I.e. the credit
support depletion date). Finally, interest and then principal
payments are paid to the subordinate bonds in sequential order. Of
note, if the principal amount of B-5 and B-6 bonds has been reduced
to zero, any principal amount that would have been distributed to
the senior support bonds will instead be distributed sequentially
to the super senior bonds and then to the senior support bonds.
Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond in the
related group until their principal balance is reduced to zero.
Next, losses are allocated to the senior support bonds in the
unrelated group. Next realized losses are allocated to super senior
bond in the related group until their principal balance is written
off, and finally losses are allocated to the super senior bonds in
the unrelated group.
In addition, the pass-through rate on the bonds is based on the net
WAC in each pool as reduced by the sum of (i) the reviewer annual
fee rate and (ii) the capped trust expense rate. In the event that
there is a small number of loans remaining, the last outstanding
bonds' rate can be reduced to zero.
Other Considerations
Unlike prior JPMMT transactions, extraordinary trust expenses in
the JPMMT 2017-3 transaction are deducted from Net Wac as opposed
to available distribution amount. Moody's believes there is a very
low likelihood that the rated certificates in JPMMT 2017-3 will
incur any losses from extraordinary expenses or indemnification
payments from potential future lawsuits against key deal parties.
First, the loans are prime quality, 100% Qualified Mortgages and
were originated under a regulatory environment that requires
tighter controls for originations than pre-crisis, which reduces
the likelihood that the loans have defects that could form the
basis of a lawsuit. Second, the transaction has reasonably well
defined processes in place to identify loans with defects on an
ongoing basis. In this transaction, an independent breach reviewer
(Pentalpha Surveillance, LLC), named at closing must review loans
for breaches of representations and warranties when certain clearly
defined triggers have been breached which reduces the likelihood
that parties will be sued for inaction. Third, the issuer has
disclosed the results of a credit, compliance and valuation review
of all of the mortgage loans by independent third parties (AMC,
Inglet Blair, Opus and Clayton Services LLC). 100% due diligence
was performed on the pool. Finally, the performance of past JPMMT
transactions have been well within expectation.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS," published in February 2015.
Additionally, the methodology used in rating Cl. 1-AX-1, Cl.
1-AX-2, Cl. 1-AX-3, Cl. 1-AX-4, Cl. 1-AX-5, Cl. 1-AX-6, Cl. 1-AX-7,
Cl. 1-AX-8, Cl. 2-AX-1, Cl. 2-AX-2 and Cl. 2-AX-3, was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
JP MORGAN 2017-MAUI: S&P Rates Class HRR Certificates B-(sf)
------------------------------------------------------------
S&P Global Ratings assigned its ratings to J.P. Morgan Chase
Commercial Mortgage Securities Trust 2017-MAUI's $469.0 million
commercial mortgage pass-through certificates.
The issuance is a commercial mortgage-backed securities (CMBS)
transaction backed by one two-year, floating-rate commercial
mortgage loan totaling $469.0 million that is secured by a
first-priority mortgage on the Four Seasons Resort Maui at Wailea,
including the borrower's fee-simple interest in the property and
all furniture, fixtures, equipment, and personal property used to
operate the property and owned by the borrower.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsors' and manager's experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure.
RATINGS ASSIGNED
J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-MAUI
Class Rating Amount
(mil. $)
A AAA (sf) 150.00
X BBB- (sf) 304.00(i)
B AA- (sf) 56.50
C A- (sf) 42.00
D BBB- (sf) 55.50
E BB- (sf) 87.50
F B (sf) 54.00
HRR B- (sf) 23.50
(i)Notional balance. The notional amount of the class X
certificates will be reduced by the aggregate amount of principal
distributions and realized losses allocated to the class A, B, C,
and D certificates.
JPMCC COMMERCIAL 2017-JP7: Fitch Assigns Bsf Rating to G-RR Certs
-----------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to JPMCC Commercial Mortgage Securities Trust 2017-JP7
commercial mortgage pass-through certificates:
-- $25,027,000 class A-1 'AAAsf'; Outlook Stable;
-- $43,242,000 class A-2 'AAAsf'; Outlook Stable;
-- $129,650,000 class A-3 'AAAsf'; Outlook Stable;
-- $126,558,000 class A-4 'AAAsf'; Outlook Stable;
-- $211,000,000 class A-5 'AAAsf'; Outlook Stable;
-- $32,225,000 class A-SB 'AAAsf'; Outlook Stable;
-- $634,610,000b class X-A 'AAAsf'; Outlook Stable;
-- $76,031,000b class X-B 'A-sf'; Outlook Stable;
-- $66,908,000 class A-S 'AAAsf'; Outlook Stable;
-- $36,495,000 class B 'AA-sf'; Outlook Stable;
-- $39,536,000 class C 'A-sf'; Outlook Stable;
-- $17,234,000a class D 'BBBsf'; Outlook Stable;
-- $25,344,000ac class E-RR 'BBB-sf'; Outlook Stable;
-- $16,220,000ac class F-RR 'BBsf'; Outlook Stable;
-- $9,124,000ac class G-RR 'Bsf'; Outlook Stable.
The following classes are not rated by Fitch:
-- $32,439,952ac class NR-RR.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) Horizontal credit risk retention interest representing at least
5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 37 loans secured by 168
commercial properties having an aggregate principal balance of
$811,002,952 as of the cut-off date. The loans were contributed to
the trust by JP Morgan Chase Bank, National Association, Starwood
Mortgage Funding VI LLC and Benefit Street Partners CRE Finance
LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 66.9% of the properties
by balance, cash flow analysis of 90.4%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Lower Fitch Leverage: The pool's leverage statistics are slightly
better than those of other recent Fitch-rated, fixed-rate
multiborrower transactions. The pool's Fitch DSCR and LTV of 1.28x
and 99.6% are better than the YTD 2017 averages of 1.23x and
102.4%, respectively. Excluding credit opinion loans, the pool has
a Fitch DSCR of 1.28x and Fitch LTV of 104.3%.
Concentrated Pool by Loan Size: The largest 10 loans account for
59.5% of the pool, which is above the YTD 2017 average of 53.3%.
The pool's loan concentration index (LCI) is 480, which is higher
than the YTD 2017 average of 399. Of note, the five largest loans
make up 40.7% of the pool.
Investment-Grade Credit Opinion Loans: Two loans, representing
12.9% of the pool, have investment-grade credit opinions, which
exceeds the YTD 2017 average of 9.0%. The largest loan in the pool,
245 Park Avenue (9.2%), has a credit opinion of 'BBB-*' on a
stand-alone basis and the seventh largest loan, West Town Mall
(3.7%), has a credit opinion of 'BBB*' on a stand-alone basis.
High Amount of Additional Debt: Eight loans (42.3% of the pool)
have subordinate financing in the form of secured or mezzanine
debt. The pool's Fitch total debt DSCR and LTV of 1.08x and 111.3%,
respectively, are worse than the YTD 2017 averages of 1.14x and
110.5%.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 8.1% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the
JPMCC 2017-JP7 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'Asf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf'
could result.
KKR CLO 10: S&P Assigns Prelim BB(sf) Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes from KKR CLO 10 Ltd.,
a collateralized loan obligation (CLO) originally issued in
December 2014 that is managed by KKR Financial Advisors II LLC. The
replacement notes will be issued via a proposed supplemental
indenture.
The preliminary ratings reflect S&P's opinion that the credit
support available is commensurate with the associated rating
levels.
The preliminary ratings are based on information as of Aug. 9,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Sept. 15, 2017, refinancing date, the proceeds from the
issuance of the replacement notes are expected to redeem the
original notes. S&P said, "At that time, we anticipate withdrawing
the ratings on the original notes and assigning ratings to the
replacement notes. However, if the refinancing doesn't occur, we
may affirm the ratings on the original notes and withdraw our
preliminary ratings on the replacement notes."
The replacement notes are being issued via a proposed supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, will also:
-- The replacement class A-R, B-R, and C-R notes are expected to
be issued at a lower spread than the original notes.
-- The replacement class E-R notes are expected to be issued at a
higher spread than the original notes.
-- The replacement class D-R notes are expected to have the same
spread as the original notes.
-- The stated maturity will be extended 3.75 years, the
reinvestment period will be extended 2.75 years, and the non-call
period will be extended by 2.75 years.
-- The overcollateralization ratio thresholds, minimum weighted
average spread covenant, and minimum weighted average recovery rate
covenant will be amended.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
PRELIMINARY RATINGS ASSIGNED
KKR CLO 10 Ltd.
Replacement class Rating Amount
(mil. $)
X NR 1.30
A-R AAA (sf) 252.00
B-R AA (sf) 52.00
C-R A (sf) 24.00
D-R BBB (sf) 24.00
E-R BB (sf) 16.00
Subordinated notes NR 47.60
NR--Not rated.
MARATHON CLO X: S&P Gives Prelim. BB- Rating to Class D Notes
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Marathon CLO
X Ltd./Marathon CLO X LLC's $482.6 million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed primarily by broadly syndicated speculative-grade senior
secured term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of Aug. 2,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Marathon CLO X Ltd./Marathon CLO X LLC
Class Rating Amount
(mil. $)
A-1A AAA (sf) 317.60
A-1B AAA (sf) 5.40
A-2 AA (sf) 67.60
B A (sf) 40.20
C BBB- (sf) 31.00
D BB- (sf) 20.80
Subordinated notes NR 52.00
NR--Not rated.
MCF CLO VII: S&P Gives Prelim BB- (sf) Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to MCF CLO VII
LLC's $263.75 million floating-rate notes.
The note issuance is collateralized loan obligation securitization
backed primarily by middle-market speculative-grade senior secured
term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of Aug. 9,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversified collateral pool, which consists primarily of
middle-market speculative-grade senior secured term loans that are
governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
MCF CLO VII LLC
Class Rating Amount
(mil. $)
A AAA (sf) 175.00
B AA (sf) 25.00
C (deferrable) A (sf) 23.50
D (deferrable) BBB- (sf) 18.00
E (deferrable) BB- (sf) 22.25
Subordinate notes NR 38.01
NR--Not rated.
MERRILL LYNCH 2007-CANADA21: Moody's Hikes Cl. K Certs Rating to B3
-------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on eight classes
and affirmed the ratings on one class in Merrill Lynch Financial
Assets Inc. Commercial Mortgage Pass-Through Certificates, Series
2007-Canada 21 as follows:
Cl. D, Upgraded to Aa2 (sf); previously on Aug 19, 2016 Upgraded to
A1 (sf)
Cl. E, Upgraded to A1 (sf); previously on Aug 19, 2016 Upgraded to
A3 (sf)
Cl. F, Upgraded to Baa1 (sf); previously on Aug 19, 2016 Upgraded
to Baa3 (sf)
Cl. G, Upgraded to Baa3 (sf); previously on Aug 19, 2016 Upgraded
to Ba2 (sf)
Cl. H, Upgraded to Ba2 (sf); previously on Aug 19, 2016 Upgraded to
B1 (sf)
Cl. J, Upgraded to Ba3 (sf); previously on Aug 19, 2016 Upgraded to
B2 (sf)
Cl. K, Upgraded to B3 (sf); previously on Aug 19, 2016 Affirmed
Caa2 (sf)
Cl. L, Upgraded to Caa1 (sf); previously on Aug 19, 2016 Affirmed
Caa3 (sf)
Cl. XC, Affirmed B2 (sf); previously on Jun 9, 2017 Downgraded to
B2 (sf)
RATINGS RATIONALE
The ratings on the P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 89% since Moody's last
review.
The rating on the IO class was affirmed based on the credit quality
of the referenced classes.
Moody's rating action reflects a base expected loss of 7.7% of the
current pooled balance, compared to 2.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 0.5% of the
original pooled balance, compared to 1.2% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Additionally, the methodology used in rating Cl. XC was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the July 12, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $24.7 million
from $385.2 million at securitization. The certificates are
collateralized by two mortgage loans.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2, compared to 14 at Moody's last review.
One loan, constituting 66% of the pool, is on the master servicer's
watchlist. The watchlist includes loans that meet certain portfolio
review guidelines established as part of the CRE Finance Council
(CREFC) monthly reporting package. As part of Moody's ongoing
monitoring of a transaction, the agency reviews the watchlist to
assess which loans have material issues that could affect
performance.
No loans have been liquidated from the pool, and no loans are
currently in special servicing.
The larger loan is the 550 - 11th Avenue Office Building Loan
($16.3 million -- 66% of the pool), which is secured by an
11-story, 97,000 sqaure feet(SF) office property located in the
financial district of downtown Calgary, Alberta. As of December
2016, the property was 42% leased, compared to 76% leased as of
December 2015 and 88% leased as of April 2014. Due to the downturn
in Calgary's office market following the decline for the energy
sector, the property's occupancy has steadily decreased since 2012.
The Borrower exercised their option to further extend the maturity
date to September 1st, 2017. Moody's LTV and stressed DSCR are 129%
and 0.8X, respectively, compared to 116% and 0.89X at the last
review.
The other loan is the La Tour Dauteuil Loan ($8.3 million -- 34% of
the pool), which is secured by a 156-unit Multi-family housing
complex located in Downtown Montreal, Quebec. This property is
located close to Dawson College, LaSalle College, Atwater Metro
Station, and Place Alexis Nihon Shopping Center. As of February
2017, the property was 95% occupied. Moody's LTV and stressed DSCR
are 76% and 1.21X, respectively, compared to 84% and 1.09X at the
last review.
MILOS CLO: Moody's Assigns (P)Ba3 Rating to Class E Notes
---------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Milos CLO, Ltd.
Moody's rating action is:
US$325,000,000 Class A Senior Secured Floating Rate Notes due 2030
(the "Class A Notes"), Assigned (P)Aaa (sf)
US$55,000,000 Class B Senior Secured Floating Rate Notes due 2030
(the "Class B Notes"), Assigned (P)Aa2 (sf)
US$27,500,000 Class C Deferrable Mezzanine Secured Floating Rate
Notes due 2030 (the "Class C Notes"), Assigned (P)A2 (sf)
US$30,000,000 Class D Deferrable Mezzanine Secured Floating Rate
Notes due 2030 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$22,500,000 Class E Deferrable Junior Secured Floating Rate Notes
due 2030 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes, and the Class E Notes are referred to herein as the "Rated
Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
Milos CLO is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 95% of the portfolio must consist
of senior secured loans and eligible investments that are principal
proceeds, and up to 5% of the portfolio may consist of second lien
loans, senior unsecured loans and first-lien last-out loans.
Moody's expects the portfolio to be approximately 70% ramped as of
the closing date.
Invesco RR Fund L.P. (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five-year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer will issue one class of
subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 55
Weighted Average Rating Factor (WARF): 2725
Weighted Average Spread (WAS): 3.40%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.00%
Weighted Average Life (WAL): 9 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2725 to 3134)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2725 to 3543)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
ML-CFC COMMERCIAL 2006-3: Moody's Hikes Class C Debt Rating to B3
-----------------------------------------------------------------
Moody's Investors Service upgraded two and affirmed three classes
of ML-CFC Commercial Mortgage Trust 2006-3 as follows:
Cl. B, Upgraded to Baa3 (sf); previously on Aug 18, 2016 Affirmed
B1 (sf)
Cl. C, Upgraded to B3 (sf); previously on Aug 18, 2016 Affirmed
Caa2 (sf)
Cl. D, Affirmed Caa3 (sf); previously on Aug 18, 2016 Affirmed Caa3
(sf)
Cl. E, Affirmed C (sf); previously on Aug 18, 2016 Affirmed C (sf)
Cl. XC, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The ratings on two P&I Classes B & C were upgraded due to an
increase in credit support resulting from loan paydowns. The deal
has paid down 63% since Moody's last review and 96% since
securitization. In addition, one loan constituting 8.3% of the pool
has defeased.
The ratings on two P&I Classes D & E were affirmed due to Moody's
expected loss.
The rating on the IO Class XC was affirmed due to the credit
quality of the referenced classes.
Moody's rating action reflects a base expected loss of 36.9% of the
current balance, compared to 18.4% at Moody's last review. Moody's
base expected loss plus realized losses is now 8.2% of the original
pooled balance, compared to 7.9% at Moody's last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Additionally, the methodology used in rating Cl. XC was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 52.5% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced loans to the most junior classes and the
recovery as a pay down of principal to the most senior classes.
DEAL PERFORMANCE
As of the July 12, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $96.7 million
from $2.43 billion at securitization. The certificates are
collateralized by 15 mortgage loans ranging in size from less than
1% to 25.7% of the pool, with the top ten loans constituting 85.1%
of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 6, compared to 21 at Moody's last review.
One loan, constituting 6.2% of the pool, ison the master servicer's
watchlist. The watchlist includes loans that meet certain portfolio
review guidelines established as part of the CRE Finance Council
(CREFC) monthly reporting package. As part of Moody's ongoing
monitoring of a transaction, the agency reviews the watchlist to
assess which loans have material issues that could affect
performance.
Forty loans have been liquidated from the pool, resulting in an
aggregate realized loss of $163 million (for an average loss
severity of 46%). Eight loans, constituting 52.5% of the pool, are
currently in special servicing.
The specially serviced loans are secured by a mix of property
types. Moody's estimates an aggregate $34 million loss for the
specially serviced loans (67% expected loss on average).
The largest specially serviced loan is the Walnut Hill Plaza loan
($21.7 million -- 22.5% of the pool), which is secured by Sears
anchored retail center located in Woonsocket, RI, approximately 15
miles north of Providence. The property was 81% occupied as of May
2017 compared to 63% in June 2016. This loan transferred to Special
Servicing in June 2013 and became REO in April 2014.
The top three non-specially serviced loans represent 34.6% of the
pool balance. The largest is the Covance Business Center Loan
($24.8 million -- 25.7% of the pool), which is secured by a 333,600
SF, single tenant office property located in Indianapolis, IN. The
property is 100% occupied by Covance, Inc., a healthcare research
organization that provides drug development clinical services to
pharmaceutical and biotechnology companies. This loan matured in
February 2017 and was modified with a 6 month term extension to
August 2017. Moody's LTV and stressed DSCR are 121% and 0.85X,
respectively, compared to 106% and 0.89X at the last review.
The second largest loan is the Cummins, Inc. Loan ($6 million --
6.2% of the pool), which is secured by a 112,000 SF single tenant,
industrial property located in Ladson, SC approximately 20 miles
northwest of Charleston. The property is 100% occupied by Cummins,
Inc., a corporation that designs, manufactures, and distributes
engines, filtration, and power generation products. This loan is
scheduled to mature in September 2017. Moody's LTV and stressed
DSCR are 107% and 0.91X, respectively, compared to 79% and 1.2X at
the last review.
The third largest loan is The Park at Heritage Greene Apartments
Loan ($2.56 million -- 2.6% of the pool), which is secured by a 109
unit garden style multifamily property located in Atlanta, GA just
4 miles north of the airport. The Property was 99% occupied as of
March 2017 with only one unit vacancy compared to 100% as of
year-end December 2016. This loan is scheduled to mature in July
2024. Moody's LTV and stressed DSCR are 76% and 1.35X,
respectively, compared to 79.5% and 1.29X at the last review.
MORGAN STANLEY 2005-IQ10: Moody's Affirms C Rating on Class F Certs
-------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the ratings on two classes in Morgan Stanley Capital I
Trust 2005-IQ10, Commercial Pass-Through Certificates, Series
2005-IQ10:
Cl. D, Upgraded to Aaa (sf); previously on Sep 1, 2016 Upgraded to
Aa2 (sf)
Cl. E, Upgraded to Baa3 (sf); previously on Sep 1, 2016 Upgraded to
Ba2 (sf)
Cl. F, Affirmed C (sf); previously on Sep 1, 2016 Affirmed C (sf)
Cl. X-Y, Affirmed Aaa (sf); previously on Sep 1, 2016 Affirmed Aaa
(sf)
RATINGS RATIONALE
The ratings on two P&I classes were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 31% since Moody's last
review.
The rating on one P&I class was affirmed because the rating is
consistent with Moody's expected loss.
The rating on the IO class was affirmed based on the credit quality
of the referenced loans.
Moody's rating action reflects a base expected loss of 0.9% of the
current pooled balance, compared to 0.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 5.8% of the
original pooled balance, the same as at the last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in July 2017, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017.
Additionally, the methodology used in rating Cl. X-Y was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the July 15, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $33 million
from $1.55 billion at securitization. The certificates are
collateralized by 26 mortgage loans ranging in size from less than
1% to 13% of the pool, with the top ten loans (excluding
defeasance) constituting 69% of the pool. One loan, constituting
5.7% of the pool, has defeased and is secured by US government
securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 15.
Eight loans, constituting 19% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Thirteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $89.5 million (for an average loss
severity of 43.8%). No loans are currently in special servicing.
Moody's received full year 2016 operating results for 99% of the
pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 53%, compared to 57% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 17% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.23X and 2.62X,
respectively, compared to 1.31X and 1.97X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 24.5% of the pool balance.
The largest loan is the Walgreens Athens Loan ($3.1 million -- 9.3%
of the pool), which is secured by a single tenant Walgreens store
located in Athens, Georgia. The property is 100% leased to
Walgreens through August 2029. The loan is fully amortizing, having
already amortized 31% since securitization. Moody's LTV and
stressed DSCR are 86% and 1.10X, respectively, compared to 90% and
1.05X at the last review.
The second largest loan is the Courthouse Metro Plaza Loan ($2.6
million -- 7.7% of the pool), which is secured by a mixed use
retail/office building located in Arlington, Virginia. As of July
2017, the property was 100% leased to three tenants. The loan is
fully amortizing, having already amortized 56% since
securitization. Moody's LTV and stressed DSCR are 27% and 3.74X,
respectively, compared to 30% and 3.37X at the last review.
The third largest loan is the Heritage Walton Reserve Apartments
Loan ($2.5 million -- 7.5% of the pool), which is secured by a
105-unit multifamily apartment complex located approximately 15
miles west of Atlanta in Austell, Georgia. As of March 2017, the
property was 100% leased. The property has remained at least 94%
occupied since securitization. The loan is fully amortizing, having
already amortized 18% since securitization. Moody's LTV and
stressed DSCR are 84% and 1.11X, respectively, compared to 75% and
1.24X at the last review.
MORGAN STANLEY 2012-C4: Moody's Affirms B1 Rating on Cl. X-B Certs
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of eight classes
and downgraded the ratings of three classes in Morgan Stanley
Capital I Trust 2012-C4, Commercial Pass-Through Certificates,
Series 2012-C4 as follows:
Cl. A-3, Affirmed Aaa (sf); previously on Dec 7, 2016 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on Dec 7, 2016 Affirmed Aaa
(sf)
Cl. A-S, Affirmed Aaa (sf); previously on Dec 7, 2016 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa2 (sf); previously on Dec 7, 2016 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Dec 7, 2016 Affirmed A2
(sf)
Cl. D, Affirmed Baa1 (sf); previously on Dec 7, 2016 Affirmed Baa1
(sf)
Cl. E, Downgraded to Ba1 (sf); previously on Dec 7, 2016 Affirmed
Baa3 (sf)
Cl. F, Downgraded to Ba3 (sf); previously on Dec 7, 2016 Affirmed
Ba2 (sf)
Cl. G, Downgraded to B3 (sf); previously on Dec 7, 2016 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Dec 7, 2016 Affirmed Aaa
(sf)
Cl. X-B, Affirmed B1 (sf); previously on Jun 9, 2017 Downgraded to
B1 (sf)
RATINGS RATIONALE
The ratings on six P&I Classes (A-3, A-4, A-S, B, C & D) were
affirmed because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), are
within acceptable ranges.
The ratings on three P&I Classes (E, F & G) were downgraded due to
anticipated losses from troubled loans that were higher than
Moody's had previously expected.
The ratings on IO Classes X-A & X-B were affirmed based on the
credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 3.2% of the
current balance, compared to 2.9% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.0% of the original
pooled balance, compared to 2.2% at Moody's last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in July 2017, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017.
Additionally, the methodology used in rating Cl. X-A and Cl. X-B
was "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the July 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 30% to $765 million
from $1.10 billion at securitization. The certificates are
collateralized by 30 mortgage loans ranging in size from less than
1% to 15.6% of the pool, with the top ten loans (excluding
defeasance) constituting 70% of the pool. One loan, constituting
7.9% of the pool, has an investment-grade structured credit
assessment. The pool contains no defeased loans.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 15, compared to 17 at Moody's last review.
Three loans, constituting 7% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
One loan has been liquidated from the pool, resulting in an
aggregate realized loss of $8.4 million (for an average loss
severity of 45%). Currently, there are no loans in special
servicing.
Moody's received full year 2016 operating results for 100% of the
pool, and full or partial year 2017 operating results for 61.5%.
Moody's weighted average conduit LTV is 93%, compared to 87% at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 17% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.44X and 1.18X,
respectively, compared to 1.53X and 1.25X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the ELS Portfolio
($60.2 million -- 7.9% of the pool), is secured by seven
manufactured housing communities and one recreational vehicle park
located across Arizona (1), California (1), Florida (2),
Massachusetts (1), Nevada (2) and Virginia (1). The Portfolio was
92% occupied as of March 2017 and remains unchanged since December
2016. Moody's structured credit assessment and stressed DSCR are
aa2 (sca.pd) and 1.80X, respectively, compared to aa2 (sca.pd) and
1.78X at the last review.
The top three conduit loans represent 31% of the pool balance. The
largest loan is The Shoppes at Buckland Hills Loan ($119.4 million
-- 15.6% of the pool), which is secured by a 535,000 SF portion of
a 1 million SF regional mall located in the Buckland Hills section
of Manchester, CT approximately 10 miles northeast of Hartford. The
malls non-collateral anchors include Macy's, Sears, JC Penney and
Dick's Sporting Goods. As of March 2017, the entire mall and the
inline space were 95% and 81% leased, respectively, compared to 96%
and 80% in June 2016. The loan is scheduled to mature in March
2022. Moody's LTV and stressed DSCR are 132.5% and 0.84X,
respectively, compared to 104.9% and 0.95X at the last review.
The second largest loan is the Capital City Mall Loan ($60.5
million -- 7.9% of the pool). The loan is secured by a 488,000 SF
portion of a 609,000 SF regional mall located in Camp Hill,
Pennsylvania, a suburb of Harrisburg. The mall is anchored by
Macy's, JC Penney and Field & Stream. Macy's is not part of the
loan collateral. Sears closed in early 2017 and will open as a
15,000 SF Sears Appliance & Mattress. Mall in-line space was 97%
leased as of May 2017 compared to 92% in June 2016. Moody's LTV and
stressed DSCR are 97% and 1.08X, respectively, compared to 93% and
1.07X at the last review.
The third largest loan is the GPB Portfolio 1 Loan ($57.2 million
-- 7.5% of the pool). The loan is secured by 11
cross-collateralized and cross-defaulted, single and multi-tenant
retail properties, located in Massachusetts (10) and New Jersey
(1). As of December 2016, the portfolio was 98% leased to tenants
such as Trader's Joes, Whole Foods, Aldi, Walgreens and CVS.
Moody's LTV and stressed DSCR are 75% and, 1.23X, respectively,
compared to 77% and 1.19X at the last review.
MSBAM 2014-C18: Fitch Affirms 'Bsf' Rating on Class 300-E Certs
---------------------------------------------------------------
Fitch Ratings has affirmed five classes of Morgan Stanley Bank of
America Merrill Lynch Trust, commercial mortgage pass-through
certificates, series 2014-C18 (MSBAM 2014-C18).
As of the July 2017 remittance report, the transaction is currently
collateralized by 64 loans and 99 properties; one loan was prepaid
in March 2017 with yield maintenance penalties. Fitch has only
issued ratings for the 300 North LaSalle B Note (300 North LaSalle
rake certificates) issued by MSBAM 2014-C18. These certificates are
subordinate in right of payment of interest and principal to the
300 North LaSalle A notes and derive their cash flow solely from
the 300 North LaSalle Street loan. The 300 North LaSalle rake
certificates are generally not subject to losses from any of the
other loans collateralizing the MSBAM 2014-C18 transaction. No
other classes issued by MSBAM 2014-C18 are rated by Fitch.
KEY RATING DRIVERS
The affirmations reflect overall stable loan performance and no
material changes since issuance.
Stable Performance; Institutional-Quality Tenants on Long-Term
Leases: As of the March 2017 rent roll, the property was 94.4%
occupied, compared to 97.1% in June 2016, 97.7% in June 2015 and
98.1% at issuance. The five largest tenants occupy 75% of the net
rentable area (NRA) and have lease expirations occurring in 2022 or
later: Kirkland & Ellis, LLP (49% of NRA; lease expiry in February
2029), The Boston Consulting Group (9.8%; December 2024), Quarles
and Brady LLP (6.7%; various lease expiry in March 2031 [6.3%] and
April 2019 [0.4%]), GTCR Leasing, LLC (5.7%; March 2024) and Aviva
USA Corporation (3.8%; March 2022).
The servicer-reported trailing 12 month (TTM) June 2016 net cash
flow (NCF) dropped 7% from TTM June 2015 due to higher operating
expenses, primarily real estate taxes. The servicer-reported TTM
June 2016 NCF debt service coverage ratio (DSCR) was 2.36x,
compared to 2.39x for the TTM June 2015 period. Although occupancy
and cash flow have declined slightly since issuance, recent new
leasing and existing tenant expansions totaling 3.4% of the NRA is
expected to boost occupancy to 97.8% by end of first-quarter 2018.
High Asset Quality and Strong Market Positioning: 300 North
LaSalle, which was newly constructed in 2009, is a 60-story, class
A, LEED Platinum central business district office building. The
property is located along the north bank of the Chicago River in
the River North neighborhood and features high-quality amenities.
300 North LaSalle is considered by Fitch as one of the premier
buildings in the city of Chicago. Fitch assigned the subject a
property quality grade of 'A' at issuance.
High Fitch Leverage: The $475 million whole loan (total debt of
$365 psf) has a Fitch-stressed DSCR and loan-to-value of 0.99x and
89.4%, respectively, which remains in-line with issuance. The
10-year loan is structured with an initial five-year interest-only
period, followed by five years of amortization (on a 30-year
schedule), resulting in a scheduled 9.6% reduction to the original
loan balance.
Lease Rollover: Approximately 23.8% of the NRA rolls prior to the
loan's August 2024 loan maturity. The largest tenant, Kirkland &
Ellis, LLP, has a lease expiring in February 2029, but has a
one-time termination option in 2025, requiring 24 months' notice.
The second largest tenant, Boston Consulting Group, has a lease
expiring at the end of 2024, four months after loan maturity.
Experienced Sponsorship: The loan is sponsored by The Irvine
Company LLC, which dates its history back to 1864 and the Irvine
Ranch. Since then, the company has grown to be the largest owner
and manager of commercial real estate in California.
RATING SENSITIVITIES
The Rating Outlooks on all classes remain Stable. Fitch does not
foresee positive or negative migration until a material economic or
asset level event changes the transaction's metrics.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
No third-party due diligence was provided or reviewed in relation
to this rating action.
Fitch has affirmed the following classes:
-- $67.4 million class 300-A at 'AA-sf'; Outlook Stable;
-- $39 million class 300-B at 'A-sf'; Outlook Stable;
-- $57 million class 300-C at 'BBB-sf'; Outlook Stable;
-- $49 million class 300-D at 'BB-sf'; Outlook Stable;
-- $32 million class 300-E at 'Bsf'; Outlook Stable.
MSSG TRUST 2017-237P: S&P Gives Prelim BB- Rating to Class E Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to MSSG Trust
2017-237P's $477.8 million commercial mortgage pass-through
certificates series 2017-237P.
The certificate issuance is a commercial mortgage-backed securities
transaction backed by the $477.8 million portion of a 10-year,
fixed-rate commercial mortgage loan and a building loan totaling
$693.2 million, secured by the fee borrower's interest in 237 Park
Avenue; the declarant borrower's interest in the declarant units;
the rent generated by the space leases and the declarant borrower's
interest in the NewYork-Presbyterian Hospital note and mortgage; a
pledge of the fee borrower's membership interests in the declarant
borrower; and a security interest in certain deposit and
disbursement accounts.
The preliminary ratings are based on information as of Aug. 7,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the collateral's
historical and projected performance, the sponsors' and manager's
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
MSSG Trust 2017-237P
Class Rating(i) Amount ($)
A AAA (sf) 132,600,000
X-A AAA (sf) 132,600,000(ii)
X-B AA- (sf) 82,000,000(ii)
B AA- (sf) 82,000,000
C A- (sf) 61,500,000
D BBB- (sf) 75,300,000
E(iii) BB- (sf) 98,800,000
HRR(iii) NR 27,600,000
(i)The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
(ii)Notional balance. The notional amount of the class X-A
certificates will equal the certificate balance of the class A
certificates and the notional amount of the class X-B certificates
will equal the certificate balance of the class B certificates.
(iii)Eligible horizontal risk retention interest. The initial
certificate balance of classes E and HRR is subject to change based
on the final pricing of all certificates and the final
determination of the class HRR certificates, which will be retained
by Core Credit Partners A LLC as a third-party purchaser.
NR--Not rated.
OZLM XVII: Moody's Assigns Ba3(sf) Rating to Class D Notes
----------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by OZLM XVII, Ltd.
Moody's rating action is:
US$322,500,000 Class A-1 Senior Secured Floating Rate Notes due
2030 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf)
US$35,000,000 Class A-2a Senior Secured Floating Rate Notes due
2030 (the "Class A-2a Notes"), Definitive Rating Assigned Aa2 (sf)
US$20,000,000 Class A-2b Senior Secured Fixed Rate Notes due 2030
(the "Class A-2b Notes"), Definitive Rating Assigned Aa2 (sf)
US$27,500,000 Class B Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class B Notes"), Definitive Rating Assigned A2
(sf)
US$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned
Baa3 (sf)
US$25,000,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2030 (the "Class D Notes"), Definitive Rating Assigned Ba3
(sf)
The Class A-1 Notes, the Class A-2a Notes, the Class A-2b Notes,
the Class B Notes, the Class C Notes, and the Class D Notes are
referred to herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
OZLM XVII is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must consist
of senior secured loans and eligible investments, and up to 10% of
the portfolio may consist of second lien loans and unsecured loans.
Moody's expects the portfolio to be approximately 65% ramped as of
the closing date.
OZ CLO Management LLC (the "Manager") and Och-Ziff Loan Management
LP, acting as the sub-manager, will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2951
Weighted Average Spread (WAS): 3.65%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2951 to 3394)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2a Notes:-2
Class A-2b Notes:-2
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Percentage Change in WARF -- increase of 30% (from 2951 to 3836)
Rating Impact in Rating Notches
Class A-1 Notes: -1
Class A-2a Notes: -4
Class A-2b Notes: -4
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
PREFERRED TERM XI: Moody's Hikes Rating on 3 Tranches to Ba3
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Preferred Term Securities XI, Ltd.:
US$70,000,000 Floating Rate Class A-2 Senior Notes Due September
24, 2033, Upgraded to Aaa (sf); previously on August 4, 2014
Upgraded to Aa1 (sf)
US$124,500,000 Floating Rate Class B-1 Mezzanine Notes Due
September 24, 2033, Upgraded to Ba3 (sf); previously on August 4,
2014 Upgraded to B2 (sf)
US$13,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due
September 24, 2033, Upgraded to Ba3 (sf); previously on August 4,
2014 Upgraded to B2 (sf)
US$65,500,000 Fixed/Floating Rate Class B-3 Mezzanine Notes Due
September 24, 2033, Upgraded to Ba3 (sf); previously on August 4,
2014 Upgraded to B2 (sf)
Moody's also affirmed the rating on the following notes:
US$343,000,000 Floating Rate Class A-1 Senior Notes Due September
24, 2033 (current balance of $114,238,473), Affirmed Aaa (sf);
previously on August 4, 2014 Upgraded to Aaa (sf)
Preferred Term Securities XI, Ltd., issued in September 2003, is a
collateralized debt obligation (CDO) backed mainly by a portfolio
of bank trust preferred securities (TruPS).
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes, an increase in the transaction's
over-collateralization (OC) ratios and the resumption of interest
payments of previously deferring assets.
The Class A-1 notes have paid down by approximately 15.8% or $21.4
million since September 2016, using principal proceeds from the
redemption and recoveries of the underlying assets, as well as the
diversion of excess interest proceeds. In additional, Moody's gave
full par credit in its analysis to one deferring bank that meet
certain criteria, totaling $13.0 million in par. Based on Moody's
calculations, the OC ratios for the Class A-1, Class A-2 and B
notes have improved to 334.9%, 207.7 and 98.8%, respectively, from
September 2016 levels of 290.5%, 191.6 and 96.4%, respectively.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs," published in October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking
sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Resumption of interest payments by deferring assets: A number of
banks have resumed making interest payments on their TruPS. The
timing and amount of deferral cures could have significant positive
impact on the transaction's over-collateralization ratios and the
ratings on the notes.
5) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc(TM) or credit
estimates. Because these are not public ratings, they are subject
to additional uncertainties.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Assuming a two-notch upgrade to assets with below-investment grade
ratings or rating estimates (WARF of 395)
Class A-1: 0
Class A-2: 0
Class B-1: +2
Class B-2: +2
Class B-3: +2
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 994)
Class A-1: 0
Class A-2: 0
Class B-1: -2
Class B-2: -2
Class B-3: -2
Loss and Cash Flow Analysis:
Moody's applied a Monte Carlo simulation framework in Moody's
CDROM(TM) to model the loss distribution for TruPS CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios defined the reference pool's loss distribution. Moody's
then used the loss distribution as an input in its CDOEdge(TM) cash
flow model. CDROM(TM) is available on www.moodys.com under Products
and Solutions -- Analytical models, upon receipt of a signed free
license agreement.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool has having a performing par (after treating
deferring securities as performing if they meet certain criteria)
of $382.6 million, defaulted/deferring par of $73.5 million, a
weighted average default probability of 6.50% (implying a WARF of
642), and a weighted average recovery rate upon default of 10.0%.
In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
The portfolio of this CDO contains TruPS issued by small to medium
sized U.S. community banks that Moody's does not rate publicly. To
evaluate the credit quality of bank TruPS that do not have public
ratings, Moody's uses RiskCalc(TM), an econometric model developed
by Moody's Analytics, to derive credit scores. Moody's evaluation
of the credit risk of most of the bank obligors in the pool relies
on the latest FDIC financial data.
PREFERRED TERM XXV: Moody's Hikes Rating on 2 Tranches to Ba1
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Preferred Term Securities XXV, Ltd.:
US$482,600,000 Floating Rate Class A-1 Senior Notes Due June 22,
2037 (current outstanding balance of $239,838,452.85), Upgraded to
Aa2 (sf); previously on February 19, 2016 Upgraded to Aa3 (sf)
US$129,400,000 Floating Rate Class A-2 Senior Notes Due June 22,
2037 (current outstanding balance of $123,347,768.86), Upgraded to
A1 (sf); previously on February 19, 2016 Upgraded to A2 (sf)
US$61,400,000 Floating Rate Class B-1 Mezzanine Notes Due June 22,
2037 (current outstanding balance of $58,527,397.91), Upgraded to
Ba1 (sf); previously on February 19, 2016 Upgraded to Ba2 (sf)
US$25,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due
June 22, 2037 (current outstanding balance of $23,829,479.30),
Upgraded to Ba1 (sf); previously on February 19, 2016 Upgraded to
Ba2 (sf)
Preferred Term Securities XXV, Ltd., issued in March 2007, is a
collateralized debt obligation (CDO) backed by a portfolio of bank
and insurance trust preferred securities (TruPS).
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1, A-2, B-1, and B-2 notes and an increase in the
transaction's over-collateralization (OC) ratios since August
2016.
The Class A-1 notes have paid down by approximately 4.9% or $12.4
million since August 2016, using principal proceeds from the
redemption of performing assets, recoveries on defaulted assets,
and diversion of excess interest proceeds. The Class A-2, B-1, and
B-2 notes have collectively paid down approximately 1.9% or $4
million from the diversion of excess interest proceeds. Based on
Moody's calculations, the OC ratios for the Class A-1, A-2, B, and
C notes have improved to 217.09%, 143.36%, 116.86%, and 92.73%,
respectively, from August 2016 levels of 204.46%, 136.45%, 111.65%,
and 89.72%, respectively. Moody's also gave full par credit in its
analysis to three deferring assets that meet certain criteria, two
of which, totaling $6.5 million in par, did not satisfy the
criteria to be treated as performing in August 2016.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs," published in October 2016.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking
sector. Moody's maintains its stable outlook on the US insurance
sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.
4) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc™ or credit
estimates. Because these are not public ratings, they are subject
to additional uncertainties.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Assuming a two-notch upgrade to assets with below-investment grade
ratings or rating estimates (WARF of 479)
Class A-1: +1
Class A-2: +1
Class B-1: +2
Class B-2: +2
Class C-1: +1
Class C-2: +1
Series 2 combo notes issued by PreTSL Combination Series P XXV
Trust: +2
Assuming a two-notch downgrade to assets with below-investment
grade ratings or rating estimates (WARF of 1104)
Class A-1: -1
Class A-2: -1
Class B-1: -2
Class B-2: -2
Class C-1: -2
Class C-2: -2
Series 2 combo notes issued by PreTSL Combination Series P XXV
Trust: -1
Loss and Cash Flow Analysis:
Moody's applied a Monte Carlo simulation framework in Moody's
CDROM(TM) to model the loss distribution for TruPS CDOs. The
simulated defaults and recoveries for each of the Monte Carlo
scenarios defined the reference pool's loss distribution. Moody's
then used the loss distribution as an input in its CDOEdge(TM) cash
flow model. CDROM(TM) is available on www.moodys.com under Products
and Solutions -- Analytical models, upon receipt of a signed free
license agreement.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool has having a performing par (after treating
deferring securities as performing if they meet certain criteria)
of $520.7 million, defaulted/deferring par of $147.5 million, a
weighted average default probability of 8.36% (implying a WARF of
750), and a weighted average recovery rate upon default of 10%.
In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.
The portfolio of this CDO contains mainly TruPS issued by small to
medium sized U.S. community banks and insurance companies that
Moody's does not rate publicly. To evaluate the credit quality of
bank TruPS that do not have public ratings, Moody's uses
RiskCalc(TM), an econometric model developed by Moody's Analytics,
to derive credit scores. Moody's evaluation of the credit risk of
most of the bank obligors in the pool relies on the latest FDIC
financial data. For insurance TruPS that do not have public
ratings, Moody's relies on the assessment of its Insurance team,
based on the credit analysis of the underlying insurance firms'
annual statutory financial reports.
RR 1 LTD: S&P Assigns BB-(sf) Rating on Class D-R Notes
-------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-X, A-1-R,
A-2-R, B-R, C-R, and D-R replacement notes from RR 1 Ltd./RR 1 LLC,
a collateralized loan obligation (CLO) originally issued in 2014
managed by Apollo Credit Management (CLO) LLC under the ALM series
name. The refinanced transaction will be managed by Redding Ridge
Asset Management LLC, and will be renamed RR 1 Ltd./RR 1 LLC in
connection with the refinancing.
Redding Ridge is a capitalized management vehicle (CMV) established
by Apollo Global Management in 2016 to comply with U.S. and Europe
risk retention rules.
On the Aug. 3, 2017, refinancing date, the proceeds from the
issuance of the replacement notes were used to redeem the original
class A-1, A-2, B, C, D, and E notes as outlined in the transaction
document provisions. Therefore, we are withdrawing the rating on
the original class A-1 notes in line with their full redemption and
are assigning final ratings to the replacement notes.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as presented to us
in connection with this review, to estimate future performance. In
line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches. The results of
the cash flow analysis demonstrated, in our view, that all of the
rated outstanding classes have adequate credit enhancement
available at the preliminary rating levels associated with these
rating actions.
"The ratings reflect our opinion that the credit support available
is commensurate with the associated rating levels.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary."
RATINGS ASSIGNED
RR 1 Ltd./RR 1 LLC (fka ALM X Ltd./ALM X LLC)
Replacement class Rating Amount (mil. $)
A-X AAA (sf) 1.50
A-1-R AAA (sf) 419.00
A-2-R AA (sf) 82.00
B-R (deferrable) A (sf) 64.00
C-R (deferrable) BBB- (sf) 34.50
D-R (deferrable) BB- (sf) 33.50
Subordinated notes NR 66.25
NR--Not rated.
RATINGS WITHDRAWN
RR 1 Ltd./RR 1 LLC (fka ALM X Ltd./ALM X LLC)
Original class Rating Amount (mil. $)
A-1 AAA (sf) 410.00
NR--Not rated.
S-JETS 2017-1: S&P Assigns Prelim BB(sf) Rating on Class C Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to S-JETS
2017-1 Ltd.'s $780.8 million fixed-rate class A, B, and C notes.
The note issuance is backed by aircraft-related leases and shares
or beneficial interests in entities that directly and indirectly
receive aircraft portfolio lease and residual cash flows, among
others.
The preliminary ratings are based on information as of Aug. 3,
2017. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The likelihood of timely interest on the class A notes
(excluding the step-up amount) on each payment date, the timely
interest on the class B notes (excluding the step-up amount) when
they are the senior-most notes outstanding on each payment date,
and the ultimate interest and principal payment on the class A, B,
and C notes on the legal final maturity at the respective rating
stresses.
-- The 71.34% loan-to-value (LTV) ratio (based on the lower of the
mean and median of the half-life base values and the half-life
current market values) on the class A notes, the 80.13% LTV ratio
on the class B notes, and the 84.69% LTV ratio on the class C
notes.
-- The initial asset portfolio, which comprises 18 narrow-body
passenger planes (eight A320 family, one B737-700, eight B737-800,
and one B737-900ER), and three wide-body passenger planes (one
A330-300, one A330-200, and one B787-8 Dreamliner). The 21 assets
have a weighted average age of approximately 3.56 years and
remaining average lease term of approximately 7.34 years. None of
the assets are currently out of production.
Many of the lessees are in emerging markets where the commercial
aviation market is growing. The class A and B notes' 15-year
amortization profile. The class C notes follow an eight-year
amortization profile. If a rapid amortization event (the debt
service coverage ratio [DSCR] or utilization triggers have been
breached or eight years after the initial closing date) has
occurred and is continuing, the transaction will pay the class A
notes' outstanding principal balance. A similar arrangement applies
to the class B notes after the class A notes are paid.
A portion of the end-of-lease payments will be paid to the class A,
B, and C notes according to their respective LTVs.
A liquidity facility that equals nine months of interest on the
class A and B notes. Morten Beyer & Agnew's provision of a
maintenance analysis at closing and on an annual basis thereafter.
Maintenance reserve accounts are required to keep a balance to meet
the higher of $1 million in the aggregate and the sum of
forward-looking maintenance expenses (up to 12 months). The excess
maintenance over the required maintenance amount will be
transferred to the payment waterfall. The senior indemnification
(capped at $10 million), which is modeled to occur in the first 12
months. The junior indemnification (uncapped), which is
subordinated to the rated classes' principal payment.
Sky Aviation Leasing International Ltd., a new aircraft leasing
company, is the servicer for this transaction. Sky Aviation Leasing
International Ltd.'s in-house aircraft assets and aviation finance
team is experienced in managing new and young mid-life aircraft
assets.
PRELIMINARY RATINGS ASSIGNED
S-JETS 2017-1 Ltd.
Class Rating Interest Amount
rate (%) (mil. $)
A(i) A (sf) 3.97 657.8
B(i) BBB (sf) 5.93 81.0
C BB (sf) 7.38 42.0
SHACKLETON CLO 2017-XI: Moody's Assigns B2 Rating on Cl. F Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Shackleton 2017-XI CLO, Ltd.
Moody's rating action is:
US$320,000,000 Class A Senior Secured Floating Rate Notes due 2030
(the "Class A Notes"), Definitive Rating Assigned Aaa (sf)
US$60,000,000 Class B Senior Secured Floating Rate Notes due 2030
(the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)
US$27,500,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned A2
(sf)
US$30,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned
Baa3 (sf)
US$22,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2030 (the "Class E Notes"), Definitive Rating Assigned Ba3
(sf)
US$7,500,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2030 (the "Class F Notes"), Definitive Rating Assigned B2 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes, the Class E Notes, and the Class F Notes are referred to
herein as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
Shackleton 2017-XI CLO is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 92.5% of the portfolio
must consist of senior secured loans and eligible investments, and
up to 7.5% of the portfolio may consist of senior unsecured loans,
first-lien last-out loans and second lien loans. The portfolio is
approximately 65% ramped as of the closing date.
Alcentra NY, LLC (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five-year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer issued one class of
subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2905
Weighted Average Spread (WAS): 3.60%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 9 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2905 to 3341)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Class F Notes: 0
Percentage Change in WARF -- increase of 30% (from 2905 to 3777)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
Class F Notes: -3
SLM PRIVATE 2003-A: Fitch Lowers Rating on Class C Notes to 'CCsf'
------------------------------------------------------------------
Fitch Ratings has taken the following rating actions on the notes
of SLM Private Credit Student Loan Trust (SLM) 2002-A, SLM 2003-A,
SLM 2003-B, SLM 2003-C, SLM 2004-A, and SLM 2004-B:
SLM 2002-A
Class A-2: affirmed at 'AAAsf'; Outlook Stable;
Class B: upgraded to 'AAAsf' from 'AAsf'; Outlook Stable.
SLM 2003-A
Class A-2: upgraded to 'AAAsf' from 'BBBsf'; Outlook Stable;
Class A-3: upgraded to 'A-sf' from 'BBBsf'; Outlook Stable;
Class A-4: upgraded to 'A-sf' from 'BBBsf'; Outlook Stable;
Class B: upgraded to 'BB+sf' from 'BBsf'; Outlook Stable;
Class C: downgraded to 'CCsf' from 'CCCsf'; Recovery Estimate (RE)
revised to 50% from 25%.
SLM 2003-B
Class A-2: upgraded to 'AAAsf' from 'A-sf'; Outlook Stable;
Class A-3: affirmed at 'A-sf'; Outlook Stable;
Class A-4: affirmed at 'A-sf'; Outlook Stable;
Class B: affirmed at 'BBsf'; Outlook Stable;
Class C: downgraded to 'CCsf' from 'CCCsf'; RE revised to 50% from
30%.
SLM 2003-C
Class A-2: upgraded to 'AAAsf' from 'A-sf'; Outlook Stable;
Class A-3: affirmed at 'A-sf'; Outlook Stable;
Class A-4: affirmed at 'A-sf'; Outlook Stable;
Class A-5: affirmed at 'A-sf'; Outlook Stable;
Class B: affirmed at 'BBsf'; Outlook Stable;
Class C: downgraded to 'CCsf' from 'CCCsf'; RE revised to 50% from
30%.
SLM 2004-A
Class A-3: affirmed at 'AAsf'; Outlook Stable;
Class B: affirmed at 'Asf'; Outlook Stable;
Class C: upgraded to 'BBBsf' from 'BB-sf'; Outlook revised to
Positive from Stable.
SLM 2004-B
Class A-3: upgraded to 'AAAsf' from 'AAsf'; Outlook Stable;
Class A-4: affirmed at 'AAsf'; Outlook Stable;
Class B: affirmed at 'Asf'; Outlook Stable;
Class C: affirmed at 'BBBsf'; Outlook Positive.
The rating actions reflect the transaction performance and
available credit enhancement (CE) as well as the implementation of
the recent publication of Fitch's "U.S. Private Student Loan ABS
Rating Criteria" (PSL criteria) on Aug. 4, 2017, which specified
some changes to the rating approach for notes with sequential pay
structure within the same class of notes and removed the one-rating
category tolerance for default multiples in surveillance. The
Positive Outlook on the class C notes of SLM 2004-A and SLM 2004-B
reflects the expectation of increasing CE levels for these notes,
should the current performance of the portfolio continue, thanks to
transaction reaching their target overcollateralization (OC) floor
levels.
KEY RATING DRIVERS
Collateral Quality: The trusts are collateralized by private
student loans originated by Navient Corp. (rated 'BB'/Stable/'B')
under the Signature Education Loan Program, LAWLOANS program, MBA
Loans program, and MEDLOANS program. Fitch's remaining default
projections are 4.8%, 7.4%, 7.8%, 7.6%, 7.5%, 8.3% of the current
pool balance of SLM 2002-A, 2003-A, 2003-B, 2003-C, 2004-A and
2004-B, respectively. Recovery assumption is 18% for all
transactions.
Stress Multiple Definition: For all transactions, the agency
applied a default stress multiple of about 3.5x, 2.75x, 2x, 1.83x,
1.5x, 1.3x and 1.2x at 'AAAsf', 'AAsf', 'Asf', 'A-sf', 'BBBsf',
'BB+', 'BBsf'' stress scenarios, respectively, in the lower end of
the multiple range envisaged by Fitch's PSL Criteria.
CE: For all transactions, available CE is sufficient to provide
loss coverage in line with the assigned rating category. CE is
provided by a combination of OC (the excess of the trust's asset
balance over the bond balance), excess spread, and subordination of
more junior notes. SLM 2002-A and SLM 2004-B have reached their
floor OC target. SLM 2004-A's OC is slightly below the target OC
floor as of last payment date.
Available Excess Spread: While SLM 2002-A, 2004-A and 2004-B
benefit from healthy level of excess spread, the higher interest
rate coupon paid on auction-rate notes for SLM 2003-A, 2003-B and
2003-C notes are jeopardizing excess spread levels, leaving their
junior notes undercollateralized; this is reflected in the 'CCsf'
ratings assigned to their class C notes.
Updated Analysis at Tranche Level: Under the PSL Criteria, Fitch
analyzes structure at tranche level (e.g. class A-3 and A-4 notes
within the A notes) rather than class level (class A notes as a
whole). The upgrades on the most senior tranches (class A-2 notes
for SLM 2002-A, 2003-A, 2003-B, 2003-C and class A-3 notes for SLM
2004-B) reflect the current sequential payment structure within the
class A notes for all transactions. Principal payments within the A
notes may switch to a pro rata/pari passu amortization if the
collateral balance falls below the outstanding balance of the class
A notes. In Fitch's view, this trigger is unlikely to be breached
before the most senior tranches are redeemed in full, also under
'AAAsf'-stressed scenarios.
Adequate Liquidity Support: For all transactions, liquidity support
is provided by a fully-funded non-amortizing reserve account. In
Fitch's view the available reserve accounts can cover 2-3 months of
senior costs and interest payments on the notes, adequately
mitigating payment interruption risk in all transactions.
Satisfactory Servicing Capabilities: Navient Solutions Inc.
(Navient, unrated) is the servicer for all the loans in the trusts.
Fitch has reviewed the servicing operations of Navient and
considers it to be an effective private student loan servicer.
RATING SENSITIVITIES
Please note that tranches rated 'CCCsf' or below are not included
in these sensitivities.
SLM 2002-A
Expected impact on the note rating of increased defaults (class
A-2/B):
Current Ratings: 'AAAsf'/'AAAsf'
Increase base case defaults by 10%:'AAAsf'/'AAAsf'
Increase base case defaults by 25%: 'AAsf'/'AAsf'
Increase base case defaults by 50%: 'AAsf'/'AAsf'
Expected impact on the note rating of reduced recoveries (class
A-2/B):
Current Ratings: 'AAAsf'/'AAAsf'
Reduce base case recoveries by 10%: 'AAAsf'/'AAAsf'
Reduce base case recoveries by 20%: 'AAAsf'/'AAAsf'
Reduce base case recoveries by 30%: 'AAAsf'/'AAAsf'
Expected impact on the note rating of increased defaults and
reduced recoveries (class A-2/B):
Current Ratings: 'AAAsf'/'AAAsf'
Increase base case defaults and reduce base case recoveries each by
10%: 'AAAsf'/'AAAsf'
Increase base case defaults and reduce base case recoveries each by
25%: 'AAsf'/'AAsf'
Increase base case defaults and reduce base case recoveries each by
50%: 'AAsf'/'AA-sf'
SLM 2003-A
Expected impact on the note rating of increased defaults (class
A-2/A-3/A-4/B):
Current Ratings: 'AAAsf'/'A-sf'/'A-sf'/'BBsf'
Increase base case defaults by 10%:
'AAAsf'/'BBB+sf'/'BBB+sf'/'BB+sf'
Increase base case defaults by 25%:
'AAAsf'/'BBBsf'/'BBBsf'/'BB-sf'
Increase base case defaults by 50%:
'AAAsf'/'BB+sf'/'BB+sf'/'CCCsf'
Expected impact on the note rating of reduced recoveries (class
A-2/A-3/A-4/B/C):
Current Ratings: 'AAAsf'/'A-sf'/'A-sf'/'BBsf'/'CCsf'
Reduce base case recoveries by 10%:
'AAAsf'/'BBB+sf'/'BBB+sf'/'BB+sf'
Reduce base case recoveries by 20%:
'AAAsf'/'BBB+sf'/'BBB+sf'/'BB+sf'
Reduce base case recoveries by 30%:
'AAAsf'/'BBB+sf'/'BBB+sf'/'BB+sf'
Expected impact on the note rating of increased defaults and
reduced recoveries (class A-2/A-3/A-4/B):
Current Ratings: 'AAAsf'/'A-sf'/'A-sf'/'BBsf'
Increase base case defaults and reduce base case recoveries each by
10%: 'AAAsf'/'BBB+sf'/'BBB+sf'/'BBsf'
Increase base case defaults and reduce base case recoveries each by
25%: 'AAAsf'/'BBB-sf'/'BBB-sf'/'B+sf'
Increase base case defaults and reduce base case recoveries each by
50%: 'AAAsf'/'BBsf'/'BBsf'/'CCCsf'
SLM 2003-B
Expected impact on the note rating of increased defaults (class
A-2/A-3/A-4/B):
Current Ratings: 'AAAsf'/'A-sf'/'A-sf'/'BBsf'
Increase base case defaults by 10%: 'AAAsf'/'BBBsf'/'BBBsf'/'B+sf'
Increase base case defaults by 25%:
'AAAsf'/'BBB-sf'/'BBB-sf'/'CCCsf'
Increase base case defaults by 50%: 'AAAsf'/'BBsf'/'BBsf'/'CCCsf'
Expected impact on the note rating of reduced recoveries (class
A-2/A-3/A-4/B):
Current Ratings: 'AAAsf'/'A-sf'/'A-sf'/'BBsf'/'CCsf'
Reduce base case recoveries by 10%:
'AAAsf'/'BBB+sf'/'BBB+sf'/'BBsf'
Reduce base case recoveries by 20:
'AAAsf'/'BBB+sf'/'BBB+sf'/'BB-sf'
Reduce base case recoveries by 30%:
'AAAsf'/'BBB+sf'/'BBB+sf'/'BB-sf'
Expected impact on the note rating of increased defaults and
reduced recoveries (class A-2/A-3/A-4/B):
Current Ratings: 'AAAsf'/'A-sf'/'A-sf'/'BBsf'
Increase base case defaults and reduce base case recoveries each by
10%: 'AAAsf'/'BBBsf'/'BBBsf'/'B+sf'
Increase base case defaults and reduce base case recoveries each by
25%: 'AAAsf'/'BB+sf'/'BB+sf'/'CCCsf'
Increase base case defaults and reduce base case recoveries each by
50%: 'AAAsf'/'B+sf'/'B+sf'/'CCCsf'
SLM 2003-C
Expected impact on the note rating of increased defaults (class
A-2/A-3/A-4/A-5/B):
Current Ratings: 'AAAsf'/'A-sf'/'A-sf'/'A-sf'/'BBsf'
Increase base case defaults by 10%:
'AAAsf'/'BBB+sf'/'BBB+sf'/'BBB+sf'/'BB-sf'
Increase base case defaults by 25%:
'AAAsf'/'BBBsf'/'BBBsf'/'BBBsf'/'Bsf'
Increase base case defaults by 50%:
'AAAsf'/'BBsf'/'BBsf'/'BBsf'/'CCCsf'
Expected impact on the note rating of reduced recoveries (class
A-2/A-3/A-4/A-5/B):
Current Ratings: 'AAAsf'/'A-sf'/'A-sf'/'A-sf'/'BBsf'
Reduce base case recoveries by 10%:
'AAAsf'/'BBB+sf'/'BBB+sf'/'BBB+sf'/'BBsf'
Reduce base case recoveries by 20%:
'AAAsf'/'BBB+sf'/'BBB+sf'/'BBB+sf'/'BBsf'
Reduce base case recoveries by 30%:
'AAAsf'/'BBB+sf'/'BBB+sf'/'BBB+sf'/'BBsf'
Expected impact on the note rating of increased defaults and
reduced recoveries (class A-2/A-3/A-4/A-5/B):
Current Ratings: 'AAAsf'/'A-sf'/'A-sf'/'A-sf'/'BBsf'
Increase base case defaults and reduce base case recoveries each by
10%: 'AAAsf'/'BBBsf'/'BBBsf'/'BBBsf'/'BB-sf'
Increase base case defaults and reduce base case recoveries each by
25%: 'AAAsf'/'BBB-sf'/'BBB-sf'/'BBB-sf'/'CCCsf'
Increase base case defaults and reduce base case recoveries each by
50%: 'AAAsf'/'BBsf'/'BBsf'/'BBsf'/'CCCsf'
SLM 2004-A
Expected impact on the note rating of increased defaults (class
A-3/B/C):
Current Ratings: 'AAsf'/'Asf'/'BBBsf'
Increase base case defaults by 10%: 'AA-sf'/'Asf'/'BBBsf'
Increase base case defaults by 25%: 'A+sf'/'BBB+sf'/'BBBsf'
Increase base case defaults by 50%: 'A-sf'/'BBBsf'/'BB+sf'
Expected impact on the note rating of reduced recoveries (class
A-3/B/C):
Current Ratings: 'AAsf'/'Asf'/'BBBsf'
Reduce base case recoveries by 10%: 'AAsf'/'Asf'/'BBBsf'
Reduce base case recoveries by 20%: 'AAsf'/'Asf'/'BBBsf'
Reduce base case recoveries by 30%: 'AA-sf'/'Asf'/'BBBsf'
Expected impact on the note rating of increased defaults and
reduced recoveries (class A-3/B/C):
Current Ratings: 'AAsf'/'Asf'/'BBBsf'
Increase base case defaults and reduce base case recoveries each by
10%: 'AA-sf'/'Asf'/'BBBsf'
Increase base case defaults and reduce base case recoveries each by
25%: 'Asf'/'BBB+'/'BBB-sf'
Increase base case defaults and reduce base case recoveries each by
50%: 'BBB+f'/'BBB-'/'BBsf'
SLM 2004-B
Expected impact upon the note rating of increased defaults (class
A-2/A-3/A-4/B/C):
Current Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'
Increase base case defaults by 10%: 'AAAsf'/'A+sf'/'Asf'/'BBBsf'
Increase base case defaults by 25%: 'AAAsf'/'Asf'/'BBB+sf'/'BBBsf'
Increase base case defaults by 50%: 'AAAsf'/'A-sf'/'BBBsf'/'BB+sf'
Expected impact on the note rating of reduced recoveries (class
A-2/B):
Current Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'
Reduce base case recoveries by 10%: 'AAAsf'/'AA-sf'/'Asf'/'BBBsf'
Reduce base case recoveries by 20%: 'AAAsf'/'AA-sf'/'Asf'/'BBBsf'
Reduce base case recoveries by 30%: 'AAAsf'/'AA-sf'/'Asf'/'BBBsf'
SORIN REAL III: Moody's Affirms C(sf) Ratings on 5 Tranches
-----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the following
notes issued by Sorin Real Estate CDO III.
Moody's rating action is:
Cl. A-1B, Affirmed Caa2 (sf); previously on Aug 11, 2016 Affirmed
Caa2 (sf)
Cl. A-2, Affirmed C (sf); previously on Aug 11, 2016 Affirmed C
(sf)
Cl. B, Affirmed C (sf); previously on Aug 11, 2016 Affirmed C (sf)
Cl. C-FL, Affirmed C (sf); previously on Aug 11, 2016 Affirmed C
(sf)
Cl. C-FX, Affirmed C (sf); previously on Aug 11, 2016 Affirmed C
(sf)
Cl. D, Affirmed C (sf); previously on Aug 11, 2016 Affirmed C (sf)
The Class A-1B, Class A-2, Class B, Class C-FL, Class C-FX, and
Class D Notes are referred to herein as the "Rated Notes"
RATINGS RATIONALE
Moody's has affirmed the ratings on the Rated Notes because its key
transaction metrics are commensurate with the existing ratings. The
rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO and
Re-Remic) transactions.
Sorin Real Estate CDO III is a static cash transaction backed by a
portfolio of: i) commercial mortgage backed securities (CMBS)
(48.1% of the pool balance); ii) asset backed securities (ABS)
(47.5%) - primarily in the form of subprime residential mortgage
backed securities (RMBS); and iii) CRE CDO securities (4.4%). As of
the July 10, 2017 payment date, the aggregate note balance of the
transaction has decreased to $508.9 million from $1 billion at
issuance, as a result of the principal paydown directed to the
senior most outstanding class of notes. The paydown was the result
of the combination of regular amortization the failure of certain
tests, and reclassification of interest proceeds from defaulted
securities as principal proceeds.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated its assessments for the collaterals it does not
rate. The rating agency modeled a bottom-dollar WARF of 5383,
compared to 5012 at last review. The current ratings on the
Moody's-rated collaterals and the assessments of the non-Moody's
rated collaterals follow: Aaa-Aa3 and 3.0% compared to 2.3% at last
review; A1-A3 and 0.0% compared to 4.9% at last review; Baa1-Baa3
and 5.5% compared to 10.4%; Ba1-Ba3 and 17.0% compared to 9.1% at
last review; B1-B3 and 23.6% compared to 22.8% at last review; and
Caa1-Ca/C and 50.9% compared to 50.5% at last review.
Moody's modeled a WAL of 4.4 years, compared to 4.0 years at last
review. The WAL is based on assumptions about extensions on the
underlying look-through loan assets.
Moody's modeled a fixed WARR of 3.8%, compared to 3.7% at last
review.
Moody's modeled a MAC of 13.7%, compared to 11.7% at last review.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in June 2017.
Factors That Would Lead to Upgrade or Downgrade of the Ratings:
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to change. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will also
affect the performance of the Rated Notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for the Rated Notes,
although a change in one key parameter assumption could be offset
by a change in one or more of the other key parameter assumptions.
The Rated Notes are particularly sensitive to changes in the
recovery rate of the underlying collateral and credit assessments.
Holding all other key parameters static, reducing the recovery rate
to 0% would result in modeled rating movement on the Rated Notes of
zero notch downward (e.g. one notch down implies a rating movement
from Baa3 to Ba1). Increasing the recovery rate of 100% of the
collateral by +10% would result modeled rating movement on the
Rated Notes of zero to one notch upward (e.g. one notch up implies
a rating movement from Baa3 to Baa2).
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
SORIN REAL IV: Moody's Affirms C(sf) Ratings on 4 Tranches
----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the following
notes issued by Sorin Real Estate CDO IV Ltd.:
Cl. C, Affirmed Caa2 (sf); previously on Aug 8, 2016 Affirmed Caa2
(sf)
Cl. D, Affirmed C (sf); previously on Aug 8, 2016 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Aug 8, 2016 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Aug 8, 2016 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Aug 8, 2016 Affirmed C (sf)
The Class C, D, E, F and G Notes are referred to herein as the
"Rated Notes."
RATINGS RATIONALE
Moody's has affirmed the ratings on the Rated Notes because the key
transaction metrics are commensurate with existing ratings. While
the credit profile of the pool has deteriorated, as evidenced by
the weighted average rating factor (WARF), the amortization
combined with the greater than expected recovery on high credit
risk assets provides offsetting factors. The affirmation is the
result of Moody's on-going surveillance of commercial real estate
collateralized debt obligation (CRE CDO CLO) transactions.
Sorin Real Estate CDO IV, Ltd. is a currently static cash
transaction; the reinvestment period ended in October 2011. The
transaction is backed by a portfolio of: i) commercial mortgage
backed securities (CMBS) (37.0% of the pool balance); ii) bank
loans (34.3%); iii) whole loans and senior participations (18.9%);
and iv) CRE CDO securities (9.8%). As of the July 28, 2017 note
valuation report, the aggregate note balance of the transaction,
including preferred shares, has decreased to $119.1 million from
$400.0 million at issuance, with principal pay-down directed to the
senior most outstanding class of notes. The pay-down was the result
of a combination of regular amortization, resolution and sales of
defaulted collateral, and the failing of certain par value tests.
The pool contains three assets totaling $21.7 million (44.0% of the
collateral pool balance) that are listed as defaulted securities as
of the July 21, 2017 trustee report. While there have been moderate
realized losses on the underlying collateral to date, Moody's does
expect significant losses to occur on the defaulted securities.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO CLO transactions: the WARF, the weighted
average life (WAL), the weighted average recovery rate (WARR), and
Moody's asset correlation (MAC). Moody's typically models these as
actual parameters for static deals and as covenants for managed
deals.
WARF is a primary measure of the credit quality of a CRE CDO CLO
pool. Moody's has updated its assessments for the collateral it
does not rate. The rating agency modeled a bottom-dollar WARF of
5350, compared to 3456 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: A1-A3 (26.1% compared to 43.0% at last
review), B1-B3 (29.9% compared to 16.4% at last review); and
Caa1-Ca/C (44.0% compared to 40.6% at last review).
Moody's modeled a WAL of 1.0 year compared to 1.3 years at last
review. The WAL is based on assumptions about extensions on the
underlying collateral.
Moody's modeled a fixed WARR of 14.1%, compared to 15% at last
review.
Moody's modeled a MAC of 19.8%, compared to 6.2% at last review.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in June 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance of the Rated Notes is subject to uncertainty,
because it is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that are subject to change. The servicing decisions of the master
and special servicer and surveillance by the operating advisor with
respect to the collateral interests and oversight of the
transaction will also affect the performance of the Rated Notes.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for some of the Rated
Notes, although a change in one key parameter assumption could be
offset by a change in one or more of the other key parameter
assumptions. The Rated Notes are particularly sensitive to changes
in the recovery rates of the underlying collateral and credit
assessments. Holding all other key parameters static, reducing the
recovery rates of 100% of the collateral pool by 10% would result
in an average modeled rating movement on the Rated Notes of zero to
one notch downward (e.g., one notch down implies a ratings movement
of Baa3 to Ba1). Increasing the recovery rate of 100% of the
collateral pool by 10% would result in an average modeled rating
movement on the Rated Notes of zero to two notches upward (e.g.,
one notch up implies a ratings movement of Baa3 to Baa2).
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment.
Commercial real estate property values continue to improve
modestly, along with a rise in investment activity and
stabilization in core property type performance. Limited new
construction and moderate job growth have aided this improvement.
TCI-SYMPHONY CLO 2017-1: Moody's Assigns Ba3 Rating to Cl. E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by TCI-Symphony CLO 2017-1 Ltd.
Moody's rating action is:
US$5,400,000 Class X Amortizing Senior Secured Floating Rate Notes
Due 2030 (the "Class X Notes"), Assigned Aaa (sf)
US$416,000,000 Class A Senior Secured Floating Rate Notes due 2030
(the "Class A Notes"), Assigned Aaa (sf)
US$78,000,000 Class B Senior Secured Floating Rate Notes due 2030
(the "Class B Notes"), Assigned Aa2 (sf)
US$32,500,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class C Notes"), Assigned A2 (sf)
US$43,900,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class D Notes"), Assigned Baa3 (sf)
US$27,600,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class E Notes"), Assigned Ba3 (sf)
The Class X Notes, the Class A Notes, the Class B Notes, the Class
C Notes, the Class D Notes and the Class E Notes are referred to
herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
TCI-Symphony 2017-1 is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated first-lien
senior secured corporate loans. At least 90% of the portfolio must
consist of senior secured loans, cash, and eligible investments,
and up to 10% of the portfolio may consist of second-lien loans and
unsecured loans. The portfolio is approximately 75% ramped as of
the closing date.
TCI Capital Management LLC (the "Manager") and Symphony Asset
Management LLC (the "Sub-Advisor") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five year reinvestment period.
Thereafter, the Manager and Sub-Advisor may reinvest unscheduled
principal payments and proceeds from sales of credit risk assets,
subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in October 2016.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $650,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2800
Weighted Average Spread (WAS): 3.5%
Weighted Average Coupon (WAC): 7.5%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 9.5 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
October 2016.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's and Sub-Advisor's
investment decisions and management of the transaction will also
affect the performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2800 to 3220)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2800 to 3640)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B Notes: -4
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
TCW CLO 2017-1: S&P Rates $18MM Class E Notes 'BB-(sf)'
-------------------------------------------------------
S&P Global Ratings assigned its ratings to TCW CLO 2017-1 Ltd./TCW
CLO 2017-1 LLC's $368 million floating-rate notes.
The note issuance is a collateralized loan obligation backed by
broadly syndicated speculative-grade senior secured term loans.
The ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
RATINGS ASSIGNED
TCW CLO 2017-1 Ltd./TCW CLO 2017-1 LLC
Class Rating Amount (mil. $)
A AAA (sf) 256.00
B AA (sf) 48.00
C A (sf) 26.00
D BBB (sf) 20.00
E BB- (sf) 18.00
Subordinated notes NR 40.60
NR--Not rated.
TOWD POINT 2017-4: Fitch to Rate Class B2 Notes 'Bsf'
-----------------------------------------------------
Fitch Ratings expects to rate Towd Point Mortgage Trust 2017-4:
-- $930,679,000 class A1 notes 'AAAsf'; Outlook Stable;
-- $79,069,000 class A2 notes 'AAsf'; Outlook Stable;
-- $1,009,748,000 class A3 exchangeable notes 'AAsf'; Outlook
Stable;
-- $1,074,559,000 class A4 exchangeable notes 'Asf'; Outlook
Stable;
-- $64,811,000 class M1 notes 'Asf'; Outlook Stable;
-- $55,737,000 class M2 notes 'BBBsf'; Outlook Stable;
-- $45,367,000 class B1 notes 'BBsf'; Outlook Stable;
-- $27,221,000 class B2 notes 'Bsf'; Outlook Stable.
The following classes will not be rated by Fitch:
-- $31,109,000 class B3 notes;
-- $31,109,000 class B4 notes;
-- $31,109,338 class B5 notes.
The notes are supported by one collateral group that consists of
5,528 seasoned performing and re-performing mortgages with a total
balance of approximately $1.3 billion (which includes $37.7
million, or 2.9%, of the aggregate pool balance in
non-interest-bearing deferred principal amounts) as of the
statistical calculation date.
The 'AAAsf' rating on the class A1 notes reflects the 28.20%
subordination provided by the 6.10% class A2, 5.00% class M1, 4.30%
class M2, 3.50% class B1, 2.10% class B2, 2.40% class B3, 2.40%
class B4 and 2.40% class B5 notes.
Fitch's ratings on the class notes reflect the credit attributes of
the underlying collateral, the quality of the servicers, Select
Portfolio Servicing, Inc. (SPS, rated 'RPS1-') and Selene Finance
LP (Selene, rated 'RPS3+'), and the representation (rep) and
warranty framework, minimal due diligence findings and the
sequential pay structure.
KEY RATING DRIVERS
Distressed Performance History (Concern): The collateral pool
consists primarily of peak-vintage, seasoned re-performing loans
(RPLs), including loans that have been paying for the past 24
months, which Fitch identifies as "clean current" (72.6%), and
loans that are current but have recent delinquencies or incomplete
pay strings, identified as "dirty current" (27.4%). All loans were
current as of the cutoff date, and 90.3% of the loans have received
modifications.
Low Loan-to-Value Ratio (Positive): The spotty pay history of these
borrowers is mitigated by the relatively low sustainable loan to
value (sLTV) ratio of 78.4%. The original combined LTV (CLTV) of
80.8% also reflects ample equity in the homes at origination. The
sLTV ratio is significantly lower than that of previous TPMT
transactions as well as other recently rated RPL transactions.
High Geographic Concentration (Concern): The pool's primary
concentration is in California, representing approximately 63.3% of
the pool. Approximately 29.4% of the pool is located in the top two
metropolitan statistical areas (MSAs), 15.6% in San Francisco and
13.8% Los Angeles. Given the pool's high regional concentration, an
additional penalty of approximately 3% was applied to the pool's
lifetime default expectations.
Third-Party Due Diligence (Concern): A third-party due diligence
review was conducted and focused on regulatory compliance, pay
history and a tax and title lien search. The third-party review
(TPR) firm's due diligence review resulted in approximately 17% "C"
and "D" graded loans, meaning the loans had material violations or
lacked documentation to confirm regulatory compliance.
No Servicer P&I Advances (Mixed): The servicers will not be
advancing delinquent monthly payments of P&I, which reduce
liquidity to the trust. However, as P&I advances made on behalf of
loans that become delinquent and eventually liquidate reduce
liquidation proceeds to the trust, the loan-level loss severity
(LS) are less for this transaction than for those where the
servicer is obligated to advance P&I. Structural provisions and
cash flow priorities, together with increased subordination,
provide for timely payments of interest to the 'AAAsf' and 'AAsf'
rated classes.
Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to re-allocate principal to pay interest
on the 'AAAsf' and 'AAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those classes in the absence of servicer advancing.
Limited Life of Rep Provider (Concern): FirstKey Mortgage, LLC
(FirstKey), as rep provider, will only be obligated to repurchase a
loan due to breaches prior to the payment date in September 2018.
Thereafter, a reserve fund will be available to cover amounts due
to noteholders for loans identified as having rep breaches. Amounts
on deposit in the reserve fund, as well as the increased level of
subordination, will be available to cover additional defaults and
losses resulting from rep weaknesses or breaches occurring on or
after the payment date in September.
Representation Framework (Concern): Fitch considers the
representation, warranty and enforcement (RW&E) mechanism construct
for this transaction to generally be consistent with what it views
as a Tier 2 framework, due to the inclusion of knowledge qualifiers
and the exclusion of loans from certain reps as a result of
third-party due diligence findings. For 44 loans that are seasoned
less than 24 months, Fitch viewed the framework as a Tier 3 because
the reps related to the origination and underwriting of the loan,
which are typically expected for newly originated loans, were not
included. Thus, Fitch increased its 'AAAsf' PD expectations by
roughly 392bps to account for a potential increase in defaults and
losses arising from weaknesses in the reps.
Timing of Recordation and Document Remediation (Neutral): An
updated title and tax search, as well as a review to confirm that
the mortgage and subsequent assignments were recorded in the
relevant local jurisdiction, was also performed. Per the
representations provided in the transaction documents, all loans
have all been recorded in the appropriate jurisdiction, are in the
process of being recorded or will be sent for recordation within 12
months of the closing date.
While the expected timelines for recordation and remediation are
viewed by Fitch as reasonable, Fitch believes that FirstKey's
oversight for completion of these activities serves as a strong
mitigant to potential delays. In addition, the obligation of
FirstKey to repurchase loans, for which assignments are not
recorded and endorsements are not completed by the payment date in
September 2018, aligns the issuer's interests regarding completing
the recordation process with those of noteholders.
Deferred Amounts (Negative): Non-interest-bearing principal
forbearance amounts totaling $37.7 million (2.9%) of the unpaid
principal balance are outstanding on 789 loans. Fitch included the
deferred amounts when calculating the borrower's LTV and sLTV,
despite the lower payment and amounts not being owed during the
term of the loan. The inclusion resulted in higher PDs and LS than
if there were no deferrals. Fitch believes that borrower default
behavior for these loans will resemble that of the higher LTVs, as
exit strategies (that is, sale or refinancing) will be limited
relative to those borrowers with more equity in the property.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at both the metropolitan statistical area (MSA) and
national levels. The implied rating sensitivities are only an
indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or be
considered in the surveillance of the transaction.
Fitch conducted sensitivity analysis determining how the ratings
would react to steeper MVDs at the national level. The analysis
assumes MVDs of 10%, 20%, and 30%, in addition to the
model-projected 38.6% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs, compared with the
model projection.
Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.
TRALEE CLO II: S&P Assigns B-(sf) Rating on Class F-R Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, E-R, and F-R replacement notes from Tralee CLO II Ltd., a
collateralized loan obligation (CLO) originally issued in 2013
that is managed by Par-Four Investment Management LLC. S&P withdrew
its ratings on the original class A, B-1, B-2, C, D, E, and F
notes following payment in full on the Aug. 8, 2017, refinancing
date.
S&P said, "On the Aug. 8, 2017, refinancing date, the proceeds from
the class A-R, B-R, C-R, D-R, E-R, and F-R replacement note
issuances were used to redeem the original class A, B-1, B-2, C,
D, E, and F notes as outlined in the transaction document
provisions. Therefore, we withdrew our ratings on the original
notes in line with their full redemption, and we assigned ratings
to the replacement notes.
"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the trustee
report, to estimate future performance. In line with our criteria,
our cash flow scenarios applied forward-looking assumptions on the
expected timing and pattern of defaults, and recoveries upon
default, under various interest rate and macroeconomic scenarios.
In addition, our analysis considered the transaction's ability to
pay timely interest or ultimate principal, or both, to each of the
rated tranches.
"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit
enhancement available to support them, and we will take further
rating actions as we deem necessary."
RATINGS ASSIGNED
Tralee CLO II Ltd./Tralee CLO II LLC
Replacement class Rating Amount (mil. $)
A-R AAA (sf) 257.50
B-R AA (sf) 48.00
C-R A (sf) 25.50
D-R BBB (sf) 20.00
E-R BB (sf) 17.00
F-R B- (sf) 8.50
RATINGS WITHDRAWN
Tralee CLO II Ltd./Tralee CLO II LLC
Rating
Original class To From
A NR AAA (sf)
B-1 NR AA+ (sf)
B-2 NR AA+ (sf)
C NR A+ (sf)
D NR BBB+ (sf)
E NR BB- (sf)
F NR B (sf)
NR--Not rated.
UBS-BARCLAYS 2012-C2: Moody's Affirms B1 Rating on Cl. X-B Certs
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 10 classes
and downgraded the ratings on three classes in UBS-Barclays
Commercial Mortgage Trust 2012-C2, Commercial Mortgage Pass-Through
Certificates, Series 2012-C2:
Cl. A-2, Affirmed Aaa (sf); previously on Mar 22, 2017 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Mar 22, 2017 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on Mar 22, 2017 Affirmed Aaa
(sf)
Cl. A-S-EC, Affirmed Aaa (sf); previously on Mar 22, 2017 Affirmed
Aaa (sf)
Cl. B-EC, Affirmed Aa2 (sf); previously on Mar 22, 2017 Affirmed
Aa2 (sf)
Cl. C-EC, Affirmed A2 (sf); previously on Mar 22, 2017 Affirmed A2
(sf)
Cl. D, Affirmed Baa1 (sf); previously on Mar 22, 2017 Affirmed Baa1
(sf)
Cl. E, Downgraded to Ba1 (sf); previously on Mar 22, 2017 Affirmed
Baa3 (sf)
Cl. F, Downgraded to Ba3 (sf); previously on Mar 22, 2017 Affirmed
Ba2 (sf)
Cl. G, Downgraded to B3 (sf); previously on Mar 22, 2017 Affirmed
B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Mar 22, 2017 Affirmed Aaa
(sf)
Cl. X-B, Affirmed B1 (sf); previously on Jun 9, 2017 Downgraded to
B1 (sf)
Cl. EC, Affirmed Aa3 (sf); previously on Mar 22, 2017 Affirmed Aa3
(sf)
RATINGS RATIONALE
The ratings on seven P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on three P&I classes were downgraded due to anticipated
losses from specially serviced and troubled loans.
The ratings on two IO classes were affirmed based on the credit
quality of the referenced classes.
The ratings on class EC was affirmed due to the weighted average
rating factor (WARF) of the exchangeable classes.
Moody's rating action reflects a base expected loss of 4.4% of the
current pooled balance, compared to 2.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 3.5% of the
original pooled balance, compared to 2.3% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in July 2017.
The methodology used in rating the exchangeable class, Cl. EC was
"Moody's Approach to Rating Repackaged Securities" published in
June 2015.
Additionally, the methodology used in rating Cl. X-A and Cl. X-B
was "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the July 12, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 20% to $969 million
from $1.22 billion at securitization. The certificates are
collateralized by 53 mortgage loans ranging in size from less than
1% to 9% of the pool, with the top ten loans (excluding defeasance)
constituting 61% of the pool. One loan, constituting 4% of the
pool, has an investment-grade structured credit assessment. Three
loans, constituting 1% of the pool, have defeased and are secured
by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 21, the same as at Moody's last review.
Five loans, constituting 8% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
One loan, constituting 1.0% of the pool, is currently in special
servicing. The specially serviced loan is the Northpoint Central
Loan ($9.8 million -- 1.0% of the pool), which is secured by a
suburban office property 13 miles north of the Houston, Texas
central business district (CBD). The loan was part of a two
property portfolio, but before the portfolio transferred to special
servicing in March 2017, the other property was sold and the
proceeds were applied to the loan balance. The asset became real
estate owned (REO) in July 2017.
Moody's has also assumed a high default probability for two poorly
performing loans, constituting 14% of the pool, and has estimated
an aggregate loss of $22 million (a 17% expected loss based on a
33% probability default) from these troubled loans.
Moody's received full year 2015 operating results for 88% of the
pool, and full or partial year 2016 operating results for 89% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 86%, compared to 92% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 9% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 10%.
Moody's actual and stressed conduit DSCRs are 1.66X and 1.25X,
respectively, compared to 1.61X and 1.20X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the 909 Third
Avenue Lease Loan ($38.6 million -- 4.0% of the pool), which is
secured by the fee interest in a parcel of land located beneath a
1.3 million square foot (SF) office property located in Manhattan,
New York. The collateral is leased to a Vornado Realty Trust
affiliate and the annual ground lease payments are $1.6 million.
The loan is interest-only throughout the term prior to the
anticipated repayment date (ARD) in May 2022. Moody's structured
credit assessment and stressed DSCR are a1 (sca.pd) and 0.45X,
respectively, the same as at the last review.
The top three largest loans represent 26% of the pool balance. The
largest loan is the Crystal Mall Loan ($90.2 million -- 9.3% of the
pool), which is secured by a 518,000 SF portion of a 783,000 SF
super-regional mall located in Waterford, Connecticut. The mall was
built in 1984 and underwent renovations in 1997 and 2012. The mall
contains three anchors: Macy's, Sears, and JC Penney (Macy's and
Sears are not included as collateral for the loan). The loan was
interest-only for the first 24 months and is now amortizing on a
30-year schedule. The subject is the only regional mall within a 50
mile radius, but it faces significant competition from other retail
centers including Waterford Commons and Tanger Outlets. Property
performance has declined since 2012 due to decreased rental
revenue. As of March 2017, the total mall was 82% leased, compared
to 88% as of September 2015. The in-line space was 76% leased as of
March 2017, compared to 78% at the previous review and 83% as of
the second prior review. Moody's has treated this as a troubled
loan.
The second largest loan is the Louis Joliet Mall Loan ($85.0
million -- 8.8% of the pool), which is secured by a 359,000 SF
portion of a 975,000 SF regional mall located in Joliet, Illinois.
The mall was built in 1978 and renovated in 2009 to expand its food
court and add a 14-screen movie theater. The mall is anchored by
Macy's, Sears, JC Penney and Carson Pirie Scott & Co. These anchors
are not owned by the borrower and are not included as collateral
for the loan. The loan is interest-only for the entire term. As of
December 2016, the property was 100% leased, compared to 99% leased
as of September 2015. Moody's LTV and stressed DSCR are 99% and
1.11X, respectively, compared to 94% and 1.18X at the last review.
The third largest loan is the Southland Center Mall Loan ($72.7
million -- 7.5% of the pool), which is secured by a 611,143 SF
portion of a 903,520 SF super-regional mall located in Taylor,
Michigan. The mall is currently anchored by Macy's and JC Penney,
The Macy's box is not owned by the borrower and is not included as
collateral for the loan. As of December 2016, the total property
was 97% leased. Moody's LTV and stressed DSCR are 93% and 1.14X,
respectively, compared to 95% and 1.11X at the last review.
UBS-CITIGROUP 2011-C1: Moody's Cuts Rating on Class F Certs to B1
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on eight classes
and downgraded the ratings on three classes in UBS-Citigroup
Commercial Mortgage Trust 2011-C1, Commercial Mortgage Pass-Through
Certificates, Series 2011-C1:
Cl. A-3, Affirmed Aaa (sf); previously on Dec 1, 2016 Affirmed Aaa
(sf)
Cl. A-AB, Affirmed Aaa (sf); previously on Dec 1, 2016 Affirmed Aaa
(sf)
Cl. A-S, Affirmed Aaa (sf); previously on Dec 1, 2016 Affirmed Aaa
(sf)
Cl. B, Affirmed Aa1 (sf); previously on Dec 1, 2016 Upgraded to Aa1
(sf)
Cl. C, Affirmed A1 (sf); previously on Dec 1, 2016 Upgraded to A1
(sf)
Cl. D, Affirmed A3 (sf); previously on Dec 1, 2016 Upgraded to A3
(sf)
Cl. E, Downgraded to Ba1 (sf); previously on Dec 1, 2016 Affirmed
Baa3 (sf)
Cl. F, Downgraded to B1 (sf); previously on Dec 1, 2016 Affirmed
Ba2 (sf)
Cl. G, Downgraded to Caa1 (sf); previously on Dec 1, 2016 Affirmed
B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Dec 1, 2016 Affirmed Aaa
(sf)
Cl. X-B, Affirmed B1 (sf); previously on Jun 9, 2017 Downgraded to
B1 (sf)
RATINGS RATIONALE
The ratings on six P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on three P&I classes were downgraded due to higher than
anticipated realized losses, expected losses from specially
serviced and troubled loans, and the treatment of loans that
constitute 10% or more of the pool balance.
The ratings on two IO classes were affirmed based on the credit
quality of the referenced classes.
Moody's rating action reflects a base expected loss of 5.9% of the
current pooled balance, compared to 2.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.0% of the
original pooled balance, compared to 2.0% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in these ratings were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in July 2017, and
"Moody's Approach to Rating Large Loan and Single Asset/Single
Borrower CMBS" published in July 2017.
Additionally, the methodology used in rating Cl. X-A and Cl. X-B
was "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in June 2017.
DEAL PERFORMANCE
As of the July 12, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 33% to $450 million
from $674 million at securitization. The certificates are
collateralized by 26 mortgage loans ranging in size from less than
1% to 15% of the pool, with the top ten loans (excluding
defeasance) constituting 57% of the pool. Three loans, constituting
19% of the pool, have defeased and are secured by US government
securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 14, compared to a Herf of 15 at Moody's last
review.
Three loans, constituting 17% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
One loan has been liquidated from the pool, resulting in or
contributing to an aggregate realized loss of approximately $82,000
(for an average loss severity of 1.1%). One loan, constituting 4.1%
of the pool, is currently in special servicing. The specially
serviced loan is the Chicago Portfolio Loan ($18.5 million -- 4.1%
of the pool), which is secured by three commercial properties
totaling 124,750 square feet (SF) and 246 parking spaces located in
Chicago, Illinois. The loan transferred to special servicing on
April 25, 2016. A Notice of Default and Right to Cure was sent to
the borrower due to their failure to provide property financials.
The Borrowing entities filed chapter 11 bankruptcy on April 3, 2017
and a Trustee was appointed on May 16, 2017.
Moody's has also assumed a high default probability for one poorly
performing loan, constituting 1% of the pool.
Moody's received full year 2015 operating results for 96% of the
pool, and full or partial year 2016 operating results for 84% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 96%, compared to 86% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 19% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 10%.
Moody's actual and stressed conduit DSCRs are 1.35X and 1.20X,
respectively, compared to 1.48X and 1.29X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The top three conduit loans represent 26.9% of the pool balance.
The largest loan is the Poughkeepsie Galleria Loan ($65.6 million
-- 14.6% of the pool), which represents a pari passu portion of a
$145.8 million senior mortgage. This mortgage is secured by a
691,000 square foot (SF) portion of a 1.2 million SF regional mall
located about 70 miles north of New York City in Poughkeepsie, New
York. Mall anchors include J.C. Penney, Regal Cinemas, and Dick's
Sporting Goods as part of the collateral. Non-collateral anchors
include Macy's, Best Buy, Target and Sears. As of the March 2017
rent roll, the collateral was 88% leased, down from 93% as of March
2016. The asset is also encumbered by $21 million of mezzanine
debt. In December 2016, full year reported NOI dropped to $15.1
million from $16.3 million as of December 2015. Moody's A Note LTV
and stressed DSCR are 127% and 0.83X, respectively, compared to 93%
and 1.07X at the last review.
The second largest loan is the One Montgomery Street Loan ($30.4
million -- 6.7% of the pool), which is secured by a 75,880 SF Class
A, mixed-use retail and office property located in San Francisco,
California. The collateral is currently 100% leased by Wells Fargo,
N.A., and has been since securitization. Due to the single-tenant
exposure, Moody's analysis incorporated a lit/dark approach.
Moody's LTV and stressed DSCR are 135% and 0.76X, respectively,
compared to 117% and 0.88X at the last review.
The third largest loan is the Sun Products Distribution Center Loan
($25.3 million -- 5.6% of the pool), which is secured by a 1.4
million SF industrial property located in Bowling Green, Kentucky.
The property has been 100% occupied by Sun Products Corp. since
securitization, with a lease extending through February 2032. Due
to the single-tenant exposure, Moody's analysis incorporated a
lit/dark approach. Moody's LTV and stressed DSCR are 78% and 1.44X,
respectively, compared to 74% and 1.52X at the last review.
WACHOVIA BANK 2004-C15: Moody's Hikes Class F Certs Rating to B1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two classes
and affirmed the rating on one class in Wachovia Bank Commercial
Mortgage Trust 2004-C15, Commercial Mortgage Pass-Through
Certificates, Series 2004-C15. Moody's has also assigned a rating
to one previously withdrawn class:
Cl. F, Upgraded to B1 (sf); previously on Dec 15, 2016 Affirmed
Caa1 (sf)
Cl. G, Upgraded to Caa1 (sf); previously on Dec 15, 2016 Affirmed C
(sf)
Cl. H, Reinstated to C (sf); previously on Jan 27, 2017 Withdrawn
(sf)
Cl. X-C, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The ratings on P&I classes F & G were upgraded based primarily on
an increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 31% since Moody's last
review.
The rating on the IO class was affirmed based on the credit quality
of the referenced classes.
Class H was assigned a rating of C (sf) following the
resinstatement of principal to the class as reflected in the
trustee's report dated July 17, 2017. Class H previously had a zero
balance. Due to the zero balance, in a prior action on January 27,
2017, Moody's withdrew its rating for the Class. Prior to the
withdrawal, the Class had a rating of C(sf).
Moody's rating action reflects a base expected loss of 17.0% of the
current pooled balance, compared to 61.4% at Moody's last review.
Moody's base expected loss plus realized losses is now 5.0% of the
original pooled balance, compared to 6.1% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Additionally, the methodology used in rating Cl. X-C was "Moody's
Approach to Rating Structured Finance Interest-Only (IO)
Securities" published in June 2017.
DEAL PERFORMANCE
As of the July 17, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $27.7 million
from $1.15 billion at securitization. The certificates are
collateralized by four mortgage loans ranging in size from less
than 10% to 56% of the pool. Two loans, constituting 37% of the
pool, have defeased and are secured by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of one, compared to two at Moody's last review.
One loan, constituting 6.7% of the pool, is on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
Eight loans have been liquidated from the pool, contributing to an
aggregate realized loss of $53.1 million (for an average loss
severity of 41%). The only specially serviced loan is the 4 Sylvan
Way Loan ($13.7 million -- 56% of the pool), which is secured by a
single tenant three-story office building located in a large office
park in suburban Parsippany, New Jersey. The loan transferred to
special servicing in August 2014 due to imminent maturity default
and became REO in September 2015. The property is 100% leased to
T-Mobile, which renewed their lease in January, through May 2027 on
a triple net lease.
The non-defeased performing loan is the CVS-Cedar Park, TX Loan
($1.6 million -- 6.7% of the pool), which is secured by a former
single tenant CVS property that has been subleased to Goodwill
since 2011. The fully amortizing loan matures in September 2024.
Moody's LTV and stressed DSCR are 72% and 1.27X, respectively,
compared to 77% and 1.30X at the last review.
WELLS FARGO 2017-C39: Fitch to Rate Class G-RR Certs 'B-sf'
-----------------------------------------------------------
Fitch Ratings has issued a presale report on Wells Fargo Commercial
Mortgage Trust 2017-C39, Series 2017-C39.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $27,816,000 class A-1 'AAAsf'; Outlook Stable;
-- $80,706,000 class A-2 'AAAsf'; Outlook Stable;
-- $4,389,000 class A-3 'AAAsf'; Outlook Stable;
-- $44,790,000 class A-SB 'AAAsf'; Outlook Stable;
-- $305,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $330,283,000 class A-5 'AAAsf'; Outlook Stable;
-- $106,203,000 class A-S 'AAAsf'; Outlook Stable;
-- $792,984,000a class X-A 'AAAsf'; Outlook Stable;
-- $50,978,000 class B 'AA-sf'; Outlook Stable;
-- $46,729,000 class C 'A-sf'; Outlook Stable;
-- $19,032,000b class D 'BBB+sf'; Outlook Stable;
-- $37,610,000bc class E-RR 'BBB-sf'; Outlook Stable;
-- $25,489,000bc class F-RR 'BB-sf'; Outlook Stable;
-- $11,328,000bc class G-RR 'B-sf'; Outlook Stable.
The following classes are not expected to be rated by Fitch:
-- $222,942,000a class X-B;
-- $42,481,836bc class H-RR.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit risk retention interest.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 64 loans secured by 149
commercial properties having an aggregate principal balance of
$1,132,834,836 as of the cut-off date. The loans were contributed
to the trust by Wells Fargo Bank, National Association, Barclays
Bank PLC, Argentic Real Estate Finance LLC, Natixis Real Estate
Capital LLC, and Basis Real Estate Capital II, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 78.7% of the properties
by balance, cash flow analysis of 80.8%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
High Pool Diversity: The largest 10 loans represent 45.2% of the
pool, which is well below the 2017 YTD average of 53.5% for
fixed-rate multiborrower transactions. The transaction exhibits
very low pool concentration, with a loan concentration index (LCI)
of 298, compared to the 2017 YTD average of 401. The average loan
size for this transaction is $17.7 million compared to the 2017 YTD
average of $20.0 million.
Investment-Grade Credit Opinion Loans: Four loans representing
16.8% of the pool have investment-grade credit opinions, which is
above the 2017 YTD average of 9.4%. 225 & 233 Park Avenue South
(6.2% of the pool) and 245 Park Avenue (4.0% of the pool) have
investment-grade credit opinions of 'BBB-sf*', respectively, while
Two Independence Square (4.0% of the pool) and Del Amo Fashion
Center (2.6% of the pool) have an investment-grade credit opinions
of 'A-sf*' and 'BBBsf*', respectively. Net of the credit opinion
loans, Fitch's DSCR and LTV are 1.21x and 108.1%, respectively.
Average Fitch Leverage: The transaction has leverage in line with
other Fitch-rated multiborrower transactions. The pool's Fitch DSCR
and LTV of 1.22x and 101.5%, respectively, are slightly below the
2017 YTD averages of 1.25x and 101.9%, respectively. Additionally,
the pool's Fitch DSCR and LTV are in line with the 2016 averages of
1.21x and 105.2%, respectively.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 8.7% below
the most recent year's net operating income (NOI) for properties
for which a full-year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the WFCM
2017-C39 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf'
could result.
[*] Fitch Lowers 146 Wells Fargo Trustee US RMBS Classes to 'Dsf'
-----------------------------------------------------------------
Fitch Ratings downgrades 146 U.S. RMBS classes to 'Dsf' following
the retention of funds in trust accounts by Wells Fargo Bank NA to
reserve against future expenses the bank may incur to defend itself
against litigation. Sixteen additional classes are placed on Rating
Watch Negative and 15 classes are paid in full.
All of the classes downgraded to 'Dsf' have incurred principal
writedowns due to Wells Fargo's withholding and are in transactions
that were called on the June 25, 2017 remittance date.
Approximately 15% of the classes held investment-grade ratings
prior to the downgrade. While some classes may ultimately recover
their full principal amount, the lack of interest payments on the
withheld principal payment results in a default under Fitch's
rating definitions. The classes downgraded to 'Dsf' previously on
Rating Watch Negative are removed from Rating Watch.
The 16 classes placed on Rating Watch Negative are in transactions
that remain outstanding and have not been directly affected by
Wells Fargo's withholding to date, but are at increased risk for
shortfalls in the future if Wells Fargo were to continue the
behaviour they exhibited on the June remittance date. These classes
are in addition to the classes placed on Rating Watch Negative on
July 12, 2017. When added to the outstanding classes previously
placed on Rating Watch Negative, the total number of Wells Fargo
trustee classes remaining on Rating Watch Negative is 260,
including 61 total classes with investment-grade ratings.
A list of the Affected Ratings is available at:
http://bit.ly/2vszbMY
KEY RATING DRIVERS
Wells Fargo as trustee retained in trust accounts approximately $79
million from 17 Fitch-rated transactions that were called on the
June 25, 2017 distribution date. Wells Fargo has indicated that the
amounts retained in the trust accounts are intended to cover future
expenses related to lawsuits starting in 2014 by institutional
investors who claim they were damaged when Wells Fargo did not
fulfil its obligation as trustee to protect them from defective
mortgages. Similar lawsuits were filed against all U.S. RMBS
trustees (Bank of New York Mellon, Citibank NA, Deutsche Bank AG,
U.S. Bank NA, and HSBC Bank USA NA).
U.S. RMBS transaction documents indemnify trustees against legal
expenses incurred except those by reason of wilful misfeasance, bad
faith or gross negligence as determined by a court. Prior to the
Wells Fargo action, trustees have typically only withheld funds to
cover expenses actually incurred or reserves in amounts not large
enough to affect credit ratings.
Wells Fargo's action is notable due to its pre-emptive nature and
due to the magnitude of the amounts withheld. The legality of the
action is currently being challenged with litigation.
The amount Wells Fargo withheld from the called transactions on
June 25th reflects an assumption of future legal expenses of $3,000
per loan originally in the trust, plus $130,000 for each
transaction. Notably, on the most recent July 25th distribution
date, Wells Fargo withheld a total of approximately $65,000 on the
only called transaction involved in ongoing litigation. Fitch
assumes the lower amount withheld for that transaction is due to
its inclusion in the recently approved Lehman Brothers RMBS
settlement, which is expected to result in its removal from the
ongoing trustee litigation.
Wells Fargo has not provided any clear public guidance on their
withholding strategy going forward. Fitch assumes that Wells Fargo
will continue to pre-emptively retain funds in trust accounts to
reserve against future expenses in scenarios where they may not be
able to reimburse themselves from the trust in the future, such as
when a transaction is called or when the remaining pool balance is
relatively small.
Lacking any additional guidance from Wells Fargo, Fitch will assume
a withholding amount of $3,000 per loan and $130,000 per
transaction when analysing the risk of future payment disruption to
outstanding rated classes.
The risk to the remaining outstanding classes will vary based on
the pool size, credit enhancement and whether the transaction is
called. At greatest risk are transactions in litigation that are
currently callable and include bonds with credit enhancement less
than an estimated future withholding amount (based on an assumption
of $3,000 per loan and $130,000 per transaction). Ratings on such
classes may be limited to non-investment grade levels and possibly
no higher than 'Bsf.' 203 of the 260 classes on Negative Watch fall
into this category, including 44 investment grade classes.
At next greatest risk are classes with credit enhancement less than
the estimated future withholding amount, but within transactions
that are not yet callable. Ratings on such classes may be limited
to non-investment grade ratings, possibly no higher than 'BBsf.'
Forty one of the 260 classes on Negative Watch fall into this
category, including eight investment grade classes.
Finally, ratings on some classes with credit enhancement greater
than the estimated future withholding amount may also be revised to
reflect that credit enhancement will decline over time and that the
future withholding amount assumption is only an estimate. Ratings
on classes were placed on Negative Watch if the relationship
multiple of credit enhancement to the estimated future withholding
amount was less than 2.0x, 1.75x, 1.5x, 1.25x, 1.1x and 1.05x for
existing ratings of 'AAAsf', 'AAsf', 'Asf', 'BBBsf', 'BBsf' and
'Bsf', respectively. Ratings on classes with insufficient cushions
to the estimated withholding amounts may be revised accordingly.
Sixteen of the 260 classes on Negative Watch fall into this
category, including nine investment grade classes.
The consideration of the relationship between each bond's credit
enhancement to the estimated future withholding amount is a
variation to Fitch's published rating criteria to reflect the
specific risk of the transactions currently included in lawsuits
against trustees.
Fitch is also currently assessing the risk of payment disruption
due to withholding from trustees other than Wells Fargo. All other
five trustees were unwilling or unable to provide guidance on
whether they intend to follow a similar withholding strategy to
Wells Fargo. J.P. Morgan's research team has identified four
previously called transactions where trustees other than Wells
Fargo withheld funds. The amounts were not large enough to affect
Fitch-rated classes and the trustees would not disclose what
portion, if any, was pre-emptively held for future expenses.
On the July 25th remittance date, the Bank of New York as trustee
did not withhold any funds from five transactions in litigation
that were called.
RATING SENSITIVITIES
The assumptions used in this rating analysis may be revised as more
information or guidance is provided by the trustees, or as the
trustees take further actions. Currently, the trustees are
providing little transparency into their strategy on this issue.
The ratings may also be affected by future court decisions or the
resolution of pending litigation that can influence the risk of
payment disruption on the affected trusts.
It is currently uncertain how Wells Fargo's action affects the
probability that trusts named in litigation may be called through
an optional redemption. The rate at which transactions are called
can affect the risk of principal writedowns to investors due to
withholding.
[*] Moody's Takes Action on $534MM Subprime RMBS Issued 2002-2007
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 20 tranches
from 12 transactions issued by various issuers, backed by subprime
mortgage loans.
Complete rating actions are:
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-HE2
Cl. A-1, Upgraded to Ba1 (sf); previously on Dec 29, 2016 Upgraded
to Ba3 (sf)
Cl. A-2C, Upgraded to B1 (sf); previously on Dec 29, 2016 Upgraded
to B3 (sf)
Issuer: Bear Stearns Asset-Backed Securities Trust 2002-1
Cl. 1-A5, Upgraded to Aa3 (sf); previously on Sep 24, 2013
Downgraded to A1 (sf)
Issuer: OwnIt Mortgage Loan Trust 2005-1
Cl. M-2, Upgraded to Baa2 (sf); previously on Dec 29, 2016 Upgraded
to Ba1 (sf)
Cl. M-3, Upgraded to B1 (sf); previously on Jul 14, 2010 Downgraded
to Ca (sf)
Issuer: Renaissance Home Equity Loan Trust 2002-3
Cl. M-1, Upgraded to B1 (sf); previously on Apr 9, 2012 Downgraded
to B3 (sf)
Issuer: Terwin Mortgage Trust, Series TMTS 2004-1HE
Cl. M-1, Upgraded to A3 (sf); previously on Mar 4, 2011 Downgraded
to Baa2 (sf)
Issuer: Structured Asset Securities Corp 2006-W1
Cl. A4, Upgraded to Baa2 (sf); previously on Mar 10, 2016 Upgraded
to Ba2 (sf)
Cl. A5, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Issuer: Structured Asset Securities Corp Trust 2006-AM1
Cl. A1, Upgraded to Baa1 (sf); previously on Dec 29, 2016 Upgraded
to Ba2 (sf)
Cl. A4, Upgraded to Aaa (sf); previously on Apr 11, 2016 Upgraded
to A3 (sf)
Cl. A5, Upgraded to Ba2 (sf); previously on Dec 29, 2016 Upgraded
to B1 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-WF1
Cl. M5, Upgraded to B1 (sf); previously on Dec 29, 2016 Upgraded to
B3 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-BC3
Cl. 1-A3, Upgraded to Ba2 (sf); previously on Dec 29, 2016 Upgraded
to Ba3 (sf)
Cl. 2-A3, Upgraded to Ba2 (sf); previously on Dec 29, 2016 Upgraded
to B1 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-WF1
Cl. A1, Upgraded to B2 (sf); previously on Dec 29, 2016 Upgraded to
Caa1 (sf)
Cl. A4, Upgraded to Ba1 (sf); previously on Dec 29, 2016 Upgraded
to Ba2 (sf)
Cl. A6, Upgraded to B2 (sf); previously on Dec 29, 2016 Upgraded to
Caa1 (sf)
Issuer: Structured Asset Securities Corp., Mortgage Pass-Through
Certificates, Series 2007-WF2
Cl. A-4, Upgraded to Ba3 (sf); previously on Dec 29, 2016 Upgraded
to B1 (sf)
Issuer: Structured Asset Securities Corporation Trust 2006-BC5
Cl. A4, Upgraded to Ba1 (sf); previously on Dec 29, 2016 Upgraded
to Ba2 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to the total credit
enhancement available to the bonds. The actions reflect the recent
performance of the underlying pools and Moody's updated loss
expectation on these pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.3% in July 2017 from 4.9% in July
2016. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2017 year. Deviations from this central scenario could
lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2017. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $764MM of RMBS Issued in 2015
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings of twenty five
tranches from three transactions backed by RMBS loans, issued by
miscellaneous issuers.
The complete rating actions are:
Issuer: Oaks Mortgage Trust Series 2015-1
Cl. A-5, Upgraded to Aaa (sf); previously on Apr 30, 2015
Definitive Rating Assigned Aa1 (sf)
Cl. A-6, Upgraded to Aaa (sf); previously on Apr 30, 2015
Definitive Rating Assigned Aa1 (sf)
Cl. A-X-1, Upgraded to Aaa (sf); previously on Jun 9, 2017
Downgraded to Aa1 (sf)
Cl. A-X-2, Upgraded to Aaa (sf); previously on Jun 20, 2017
Downgraded to Aa1 (sf)
Cl. A-X-3, Upgraded to Aaa (sf); previously on Jun 20, 2017
Downgraded to Aa1 (sf)
Cl. A-X-5, Upgraded to Aaa (sf); previously on Apr 30, 2015
Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Upgraded to Aa1 (sf); previously on Sep 1, 2016 Upgraded
to Aa2 (sf)
Cl. B-2, Upgraded to Aa2 (sf); previously on Sep 1, 2016 Upgraded
to A1 (sf)
Cl. B-3, Upgraded to A1 (sf); previously on Sep 1, 2016 Upgraded to
Baa1 (sf)
Cl. B-4, Upgraded to Baa1 (sf); previously on Sep 1, 2016 Upgraded
to Ba1 (sf)
Cl. B-5, Upgraded to Ba2 (sf); previously on Sep 1, 2016 Upgraded
to B2 (sf)
Issuer: Sequoia Mortgage Trust 2015-2
Cl. B-2, Upgraded to Aa3 (sf); previously on Sep 1, 2016 Upgraded
to A2 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Sep 1, 2016 Upgraded to
Baa2 (sf)
Cl. B-4, Upgraded to Ba2 (sf); previously on Sep 1, 2016 Upgraded
to Ba3 (sf)
Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series
2015-DNA1
Cl. M-1, Upgraded to Aa1 (sf); previously on Sep 1, 2016 Upgraded
to A1 (sf)
Cl. M-1F, Upgraded to Aa1 (sf); previously on Sep 1, 2016 Upgraded
to A1 (sf)
Cl. M-1I, Upgraded to Aa1 (sf); previously on Sep 1, 2016 Upgraded
to A1 (sf)
Cl. M-2, Upgraded to A1 (sf); previously on Sep 1, 2016 Upgraded to
Baa1 (sf)
Cl. M-2F, Upgraded to A1 (sf); previously on Sep 1, 2016 Upgraded
to Baa1 (sf)
Cl. M-2I, Upgraded to A1 (sf); previously on Sep 1, 2016 Upgraded
to Baa1 (sf)
Cl. M-3, Upgraded to Ba1 (sf); previously on Sep 1, 2016 Upgraded
to Ba3 (sf)
Cl. M-3F, Upgraded to Ba1 (sf); previously on Sep 1, 2016 Upgraded
to Ba3 (sf)
Cl. M-3I, Upgraded to Ba1 (sf); previously on Sep 1, 2016 Upgraded
to Ba3 (sf)
Cl. M-12, Upgraded to A1 (sf); previously on Sep 1, 2016 Upgraded
to A3 (sf)
Cl. MA, Upgraded to Baa3 (sf); previously on Sep 1, 2016 Upgraded
to Ba2 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to an increase in credit
enhancement available to the bonds and a reduction in Moody's
expected pool losses. The actions are also a result of the recent
performance of the underlying pools which have displayed very low
levels of serious delinquencies.
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS" published in February 2015.
Additionally, the methodology used in rating Oaks Mortgage Trust
Series 2015-1 Cl. A-X-5, Cl. A-X-1, Cl. A-X-2, Cl. A-X-3,
Structured Agency Credit Risk (STACR) Debt Notes, Series 2015-DNA1
Cl. M-1I, Cl. M-2I, Cl. M-3I was "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in June
2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.3% in July 2017 from 4.9% in July
2016. Moody's forecasts an unemployment central range of 4.5% to
5.5% for the 2017 year. Deviations from this central scenario could
lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2017. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] S&P Lowers Ratings on 87 Classes From 60 US RMB Deals to D(sf)
------------------------------------------------------------------
S&P Global Ratings, on Aug. 4, 2017, lowered its ratings on 87
classes of mortgage pass-through certificates from 60 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 1998 and 2009 to 'D (sf)'.
The transactions in this review are backed by a mix of fixed- and
adjustable-rate mixed collateral mortgage loans, which are secured
primarily by first liens on one- to four-family residential
properties. Today's downgrades reflect S&P's assessment of the
principal write-downs' impact on the affected classes during recent
remittance periods.
All of the classes were rated either 'CCC (sf)' or 'CC (sf)' before
today's rating actions.
PRINCIPAL-ONLY RATINGS
This review included four Principal-Only (PO) ratings. Of these,
three are categorized as PO strip classes and one is categorized as
a PO senior class.
Class I-A-PO from First Horizon Alternative Mortgage Securities
Trust 2005-FA5, class PO from Residential Asset Securitization
Trust 2005-A9, and class 6-A-P Morgan Stanley Mortgage Loan Trust
2005-7 are PO strip classes, which receive principal primarily from
discount loans within the related transaction. When a discount loan
takes a loss, the PO strip class is allocated a loan-specific
percentage of that loss.
Because these PO classes are senior classes in the waterfall, they
are reimbursed from cash flows that would otherwise be paid to the
most junior classes. S&P said, "However, we do not expect any
future reimbursements from the transaction's cash flow because the
balances of the subordinate classes have been reduced to zero.
Therefore, the PO classes within this review have incurred a loss
on their principal obligation without the likelihood of future
reimbursement. We are lowering the ratings of all three PO strip
classes within this review to 'D (sf)'.
"PO senior classes are not structured to receive principal from
discount loans and the rating should simply reflect the credit risk
of the class. We are lowering the rating of the sole senior PO
class within this review to 'D (sf)'."
The 87 defaulted classes consist of the following:
-- 50 from prime jumbo transactions (57.47%),
-- 16 from Alternative-A transactions (18.39%),
-- Eight from subprime transactions (9.2%),
-- Seven from negative amortization transactions (8.05%),
-- Four from Federal Housing Administration/Veteran Affairs
transactions (4.60%),
-- One from a document deficient transaction (1.15%); and
-- One from a resecuritized real estate mortgage investment
conduit transaction (1.15%).
All of the transactions in this review receive credit enhancement
from a combination of subordination, excess spread, and
overcollateralization, where applicable.
S&P will continue to monitor our ratings on securities that
experience principal write-downs, and it will take rating actions
as it considers appropriate according to its criteria.
A list of the Affected Ratings is available at:
http://bit.ly/2uqHTX8
[*] S&P Lowers Ratings on Seven Classes From Five U.S. CMBS Deals
-----------------------------------------------------------------
S&P Global Ratings lowered its ratings on seven classes of
commercial mortgage pass-through certificates from five U.S.
commercial mortgage-backed securities (CMBS) transactions.
S&P said, "Specifically, we lowered our ratings to 'D (sf)' on five
classes from four U.S. CMBS transactions due to accumulated
interest shortfalls that we expect to remain outstanding for the
foreseeable future.
"We also lowered our rating to 'CCC (sf)' on class A-J from Morgan
Stanley Capital I Trust 2006-IQ12 because of credit support erosion
that we anticipate would occur upon the eventual resolution of the
specially serviced assets as well as susceptibility to liquidity
interruptions from the specially serviced assets.
"We also lowered our rating to 'A- (sf)' on class N from LB-UBS
Commercial Mortgage Trust 2003-C8 due to accumulated interest
shortfalls that we expect to remain outstanding for approximately
six months."
The recurring interest shortfalls for the respective certificates
are primarily due to one or more of the following factors:
-- Appraisal subordinate entitlement reduction (ASER) amounts in
effect for specially serviced assets;
-- The lack of servicer advancing for loans/assets where the
servicer has made nonrecoverable advance declarations;
-- Interest rate modifications or deferrals, or both, related to
corrected mortgage loans; or
-- Special servicing fees.
"Our analysis primarily considered the ASER amounts based on
appraisal reduction amounts (ARAs) calculated using recent Member
of the Appraisal Institute (MAI) appraisals. We also considered
servicer-nonrecoverable advance declarations and special servicing
fees that are likely, in our view, to cause recurring interest
shortfalls.
"The servicer implements ARAs and resulting ASER amounts according
to each respective transaction's terms. Typically, these terms call
for an ARA equal to 25% of the stated principal balance of a loan
to be implemented when a loan is 60 days past due and an appraisal
or other valuation is not available within a specified time frame.
We primarily considered ASER amounts based on ARAs calculated from
MAI appraisals when deciding which classes from the affected
transactions to downgrade to 'D (sf)'. This is because ARAs based
on a principal balance haircut are highly subject to change, or
even reversal, once the special servicer obtains the MAI
appraisals."
Servicer-nonrecoverable advance declarations can prompt shortfalls
due to a lack of debt-service advancing, the recovery of previously
made advances after an asset was deemed nonrecoverable, or the
failure to advance trust expenses when nonrecoverable declarations
have been determined. Trust expenses may include, but are not
limited to, property operating expenses, property taxes, insurance
payments, and legal expenses.
Discussions of the individual transactions follow.
MORGAN STANLEY CAPITAL I TRUST 2006-IQ12
S&P said, "We lowered our ratings on the class A-J and B commercial
mortgage pass-through certificates to 'CCC (sf)' and 'D (sf)',
respectively. The lowered rating on class A-J reflects credit
support erosion that we expect would occur upon the eventual
resolution of the specially serviced assets as well as
susceptibility to liquidity interruptions from the specially
serviced assets. Our analysis considered that, in the event
additional specially serviced assets are deemed nonrecoverable or
ARAs are increased, this class would potentially experience
interest shortfalls. The lowered rating on class B to 'D (sf)'
reflects accumulated interest shortfall that we expect to be
outstanding for the foreseeable future. The class currently has
accumulated interest shortfalls outstanding for nine consecutive
months."
According to the July 17, 2017, trustee remittance report, the
current monthly interest shortfalls totaled $126,691 and resulted
primarily from:
-- Interest not advanced due to nonrecoverable determination of
$59,865;
-- Special servicing fees totaling $39,528; and
-- Net ASER amounts totaling $25,564.
The current reported interest shortfalls have affected all classes
subordinate to and including class B.
GREENWICH CAPITAL COMMERCIAL FUNDING CORP. SERIES 2007-GG9
S&P said, "We lowered our rating on the class B commercial mortgage
pass-through certificates to 'D (sf)' to reflect accumulated
interest shortfalls that, based on our analysis, we expect to be
outstanding in the foreseeable future. The class has accumulated
interest shortfalls outstanding for four consecutive months."
According to the July 12, 2017, trustee remittance report, the
current monthly interest shortfalls totaled $815,380 and resulted
primarily from:
-- Net ASER amounts totaling $705,116; and
-- Special servicing fees totaling $107,359.
The current reported interest shortfalls have affected all classes
subordinate to and including class B.
JPMORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2007-LDP12
S&P said, "We lowered our ratings on the class C and D commercial
mortgage pass-through certificates to 'D (sf)' to reflect
accumulated interest shortfalls that, based on our analysis, we
expect will remain outstanding for the foreseeable future. The
accumulated interest shortfalls are currently outstanding on
classes C and D for three and nine consecutive months,
respectively."
According to the July 17, 2017, trustee remittance report, the
current net monthly interest shortfalls totaled $494,133 and
resulted primarily from:
-- Net ASER amounts totaling $368,497;
-- Special servicing fees totaling $52,369;
-- Interest not advanced due to nonrecoverable determination
totaling $32,471; and
-- Interest shortfalls due to rate modification totaling $28,274.
The current reported interest shortfalls have affected all classes
subordinate to and including class C.
LB-UBS COMMERCIAL MORTGAGE TRUST 2003-C8
S&P siad, "We lowered our rating on the class N commercial mortgage
pass-through certificates to 'A- (sf)' to reflect accumulated
interest shortfalls that we expect will remain outstanding for at
most approximately six months. The accumulated interest shortfalls
are currently outstanding for two consecutive months. Based on
discussions with the master servicer, the increase in interest
shortfalls are due to the master servicer recouping prior servicer
advances on the specially serviced PGA Commons real estate owned
asset ($6.5 million, 51.4%). It is our understanding that
approximately $100,000 of servicer advances are outstanding. Based
on our analysis, we expect the master servicer to recoup all of its
outstanding advances in the next two months, and anticipate the
accumulated interest shortfalls on class N to be recovered
subsequently after. In aggregate, we expect the accumulated
interest shortfall on class N to be repaid in full in approximately
six months. We will continue to monitor the interest shortfalls and
their repayment timing. If the accumulated interest shortfalls
remain outstanding for longer than our anticipated timeframe, we
may revisit our analysis and take additional rating actions, if
warranted."
According to the July 17, 2017, trustee remittance report, the
current net monthly interest shortfalls totaled $57,817. The
monthly interest shortfalls resulted primarily from:
-- Recovery of outstanding servicer advances totaling $45,000;
-- Interest not advanced due to nonrecoverable determination
totaling $30,006; and
-- Special servicing fees totaling $1,344.
The current reported interest shortfalls have affected all of the
outstanding classes in the transaction. The remaining balance was
reported as realized losses totaling $18,534 to class S (not rated
by S&P Global Ratings).
WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SERIES 2003-C6
S&P said, "We lowered our rating on the class O commercial mortgage
pass-through certificates to 'D (sf)' to reflect accumulated
interest shortfalls that we expect to remain outstanding for the
foreseeable future. The class has accumulated interest shortfalls
outstanding for seven consecutive months. Per discussions with the
master servicer, the interest shortfalls are due to the master
servicer recovering prior servicer advances on the specially
serviced Trader Joe's Plaza loan ($4.0 million, 43.6%). It is our
understanding that approximately $720,000 of servicer advances are
still outstanding. Based on our analysis, we expect the master
servicer to recoup all of its outstanding advances in approximately
eight months and expect the outstanding accumulated interest
shortfalls to be repaid subsequently after. In aggregate, we expect
class O's accumulated interest shortfalls to be outstanding for
approximately 16 months."
According to the July 17, 2017, trustee remittance report, the
current net monthly interest shortfalls totaled $47,265. The
monthly interest shortfalls resulted primarily from:
-- Recovery of outstanding servicer advances totaling $84,755;
-- Interest not advanced from nonrecoverable determination
totaling $18,796; and
-- Special servicing fees totaling $842.
The current reported interest shortfalls have affected all of the
classes outstanding in the transaction. The remaining balance was
reported as a realized principal loss of $56,993 on class P (not
rated by S&P Global Ratings).
RATINGS LOWERED
MORGAN STANLEY CAPITAL I TRUST 2006-IQ12
Commercial mortgage pass-through certificates
Rating
Class To From
A-J CCC (sf) B- (sf)
B D (sf) CCC (sf)
GREENWICH CAPITAL COMMERCIAL FUNDING CORP.
Commercial mortgage pass-through certificates series 2007-GG9
Rating
Class To From
B D (sf) CCC- (sf)
JPMORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2007-LDP12
Commercial mortgage pass-through certificates
Rating
Class To From
C D (sf) B- (sf)
D D (sf) CCC+ (sf)
LB-UBS COMMERCIAL MORTGAGE TRUST 2003-C8
Commercial mortgage pass-through certificates
Rating
Class To From
N A- (sf) AA+ (sf)
WACHOVIA BANK COMMERCIAL MORTGAGE TRUST
Commercial mortgage pass-through certificates series 2003-C6
Rating
Class To From
O D (sf) BB+ (sf)
[*] S&P Takes Various Actions on 39 Classes From 34 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 39 classes from 34 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2002 and 2006. All of these transactions are backed by
mixed collateral. The review yielded 27 downgrades.
S&P said, "We also placed 12 ratings on CreditWatch with negative
implications. The CreditWatch placements reflect missed interest
payments on the affected classes as reported by the trustee reports
in recent remittance periods, which could negatively affect our
ratings on those classes. After verifying these missed interest
payments, we will adjust the ratings as we consider appropriate per
our criteria."
APPLICATION OF INTEREST SHORTFALL CRITERIA
S&P said, "In reviewing some of these ratings, we applied our
interest shortfall criteria as stated in "Structured Finance
Temporary Interest Shortfall Methodology," Dec. 15, 2015, which
impose a maximum rating threshold on classes that have incurred
interest shortfalls resulting from credit or liquidity erosion. In
applying the criteria, we looked to see if the applicable class
received additional compensation beyond the imputed interest due as
direct economic compensation for the delay in interest payment. In
instances where the class did not receive additional compensation
for outstanding interest shortfalls, we used the maximum length of
time until full interest is reimbursed as part of our analysis to
assign the rating on the class."
APPLICATION OF U.S. RMBS SURVEILLANCE PRE-09 CRITERIA
For some of the ratings, where the class received additional
compensation for outstanding missed interest payments, S&P applies
its surveillance criteria, "U.S. RMBS Surveillance Credit And Cash
Flow Analysis for Pre-2009 Originations," published March 2, 2016.
In applying the criteria, S&P used its cash flow projections in
determining the likelihood that the missed interest payments would
be reimbursed under various scenarios to assign the rating on the
class.
A list of the Affected Ratings is available at:
http://bit.ly/2u2nZX7
[*] S&P Takes Various Actions on 64 Classes From 11 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 64 classes from 11 U.S.
residential mortgage-backed securities transactions issued between
2002 and 2004. All of these transactions are backed by subprime
collateral. The review yielded three upgrades, 12 downgrades, and
49 affirmations.
Analytical Considerations
S&P said, "We incorporate various considerations into our decisions
to raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes." Some of these considerations include:
-- Collateral performance and delinquency trends,
-- Historical interest shortfalls,
-- Priority of principal payments; and
-- Available subordination and/or overcollateralization.
Rating Actions
Please see the ratings list for the rationales for classes with
rating transitions. The affirmations of ratings reflect S&P's
opinion that its projected credit support and collateral
performance on these classes has remained relatively consistent
with its prior projections.
A list of the Affected Ratings is available at:
http://bit.ly/2hIrVXq
*********
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Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2017. All rights reserved. ISSN: 1520-9474.
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